Two Paradigms and Nobel Prizes in Economics: a Contradiction or Coexistence?
研究了均值方差分析和资本资产定价模型（CAPM）与前景理论这两种看似矛盾的范式能否共存，发现CAPM的证券市场线定理在前景理论框架下依然成立。
Abstract Markowitz and Sharpe won the Nobel Prize in Economics for the development of Mean‐Variance (M‐V) analysis and the Capital Asset Pricing Model (CAPM). Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. In deriving the CAPM, Sharpe, Lintner and Mossin assume expected utility (EU) maximisation in the face of risk aversion. Kahneman and Tversky suggest Prospect Theory (PT) as an alternative paradigm to EU theory. They show that investors distort probabilities, make decisions based on change of wealth, exhibit loss aversion and maximise the expectation of an S‐shaped value function, which contains a risk‐seeking segment. Can these two apparently contradictory paradigms coexist? We show in this paper that although CPT (and PT) is in conflict to EUT, and violates some of the CAPM's underlying assumptions, the Security Market Line Theorem (SMLT) of the CAPM is intact in the CPT framework. Therefore, the CAPM is intact also in CPT framework.