Options Trading and the CAPM
研究投资者面临非负财富约束时的均衡资产定价，证明市场组合期权非冗余，定价核取决于市场组合和期权，期权有助于解释风险资产收益。
This article studies equilibrium asset pricing when agents face nonnegative wealth constraints. In the presence of these constraints it is shown that options on the market portfolio are nonredundant securities and the economy's pricing kernel is a function of both the market portfolio and the nonredundant options. This implies that the options should be useful for explaining risky asset returns. To test the theory, a model is derived in which the expected excess return on any risky asset is linearly related (via a collection of betas) to the expected excess return on the market portfolio and to the expected excess returns on the nonredundant options. The empirical results indicate that the returns on traded index options are relevant for explaining the returns on risky asset portfolios. Copyright 2004, Oxford University Press.