Capital Asset Pricing Compatible with Observed Market Value Weights
证明，使观测投资组合均值方差有效的期望收益向量集是一个两参数族，并识别了十种设定两参数时间序列行为的方式，从而推断与已知协方差矩阵和市场价值权重时间序列相容的期望收益序列及CAPM变量。实证显示不同情形下均值向量序列差异显著，且多不同于CAPM检验中假设的常数均值向量。
We show that the set of expected return vectors, for which an observed portfolio is mean variance (MV) efficient, is a two-parameter family. We identify ten ways to specify the time series behavior of the two parameters; the result highlights a number of inconsistencies involved in MV modelling. For each of the cases, it permits the inference of the time series of expected return vectors, as well as all the other Capital Asset Pricing Model (CAPM) variables, compatible with a known covariance matrix and the observed time series of market value weights. The empirical work shows that there are substantial case-to-case differences in the time series of mean vectors and many of them are quite different from the constant mean vector envisioned in tests of the CAPM.