Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note
证明，资本资产定价模型的推导中，正态性或二次偏好假设可被公平博弈条件替代，即资产残差收益在市场组合收益条件下的条件均值为零。
ABSTRACT Derivation of the capital asset pricing model requires various assumptions including normality or quadratic preference. The objective of this note is to show that the normality or quadratic preference assumption can be replaced by the fair game condition that assets' residual returns have zero mean conditional upon the return of the market portfolio.