A Generalization of the CAPM Based on a Property of the Covariance Operator
基于协方差算子的性质，推广了传统CAPM，放松了收益率联合正态分布假设，适用于连续时间模型和无分布假设的套利定价理论。
A key assumption behind the traditional capital asset pricing model (CAPM) is the joint normality of security returns. Recently, however, this assumption has been relaxed in at least two directions. First, the emergence of continuous-time models has shifted emphasis from discrete-time random variables to continuous-time diffusion processes, with log-normality (as opposed to normality) for security prices in the stationary case. Second, the recognition that the CAPM is difficult to test empirically has led to the development of an asset pricing theory based on an arbitrage argument in large markets and free of any distributional assumption.