Transaction Costs and the Pricing of Assets
在资本资产定价模型框架下，研究交易成本导致投资者无法充分分散投资组合对均衡资产价格的影响，发现资产的风险溢价取决于其与市场的协方差和自身方差的加权平均。
ABSTRACT The existence of transaction costs explains why investors do not fully diversify their portfolios. This paper examines the implications of such limited diversification on equilibrium asset prices in the framework of the capital asset pricing model. In the pricing equation obtained here an asset's risk premium depends on a weighted average of its covariance with the market and its own variance.