Beta in Linear Risk Tolerance Economies
用数值方法检验幂效用线性风险容忍经济中预期收益与贝塔的关系，发现其与均值方差CAPM实证结果相似，且仅含协方差的估值方程比同时含协方差和协偏度的方程更能解释预期收益。
This paper employs numerical means to examine: (i) the expected return-beta plot in power utility Linear Risk Tolerance (LRT) economies, and (ii) whether, in the power utility economies, a valuation equation containing covariance and coskewness terms might better explain expected returns than one containing covariance terms alone. The results show that the expected return-beta plots constructed from real world return distributions are very similar to the plots found in empirical tests of the Mean Variance Capital Asset Pricing Model (MV CAPM). Hence a power utility LRT CAPM may provide a better theory of asset pricing than the MV CAPM does. While beta is not the correct measure of risk in power utility LRT economies, the results show that on average a valuation equation containing covariance terms only explains expected returns better than a valuation equation containing both covariance and coskewness terms.