The CAPM is Alive and Well: A Review and Synthesis
在行为经济学和心理学质疑预期效用理论及均值方差规则有效性的背景下，论证CAPM在理论上仍然成立，并指出在行为框架下CAPM有坚实的实验支持。
Abstract Mean‐Variance (M‐V) analysis and the CAPM are derived in the expected utility framework. Behavioural Economists and Psychologists (BE&P) advocate that expected utility is invalid, suggesting Prospect Theory as a substitute paradigm. Moreover, they show that the M‐V rule, which is the foundation of the CAPM, is not always consistent with peoples’ choices. Thus, BE&P cast doubt on the validity of expected utility paradigm and of the M‐V rule, hence the CAPM is theoretically questionable. In addition, there is very little empirical support to the CAPM. We show in this study that the CAPM is theoretically valid even when one accepts the BE&P framework and even when expected utility is invalid. Moreover, within the BE&P framework there is a strong experimental support for the CAPM.