On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM
推导了概率分布的充分条件，使得三矩（均值、方差、偏度）消费导向的资本资产定价模型能正确定价部分资产。研究对金融经济学和资产定价领域的学者有参考价值。
In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption-oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption-oriented CAPM.