On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice
证明椭圆分布类能将Tobin分离定理、Bawa排序规则、Ross共同基金分离定理和CAPM推广到非正态分布，并建立均值-特征矩阵框架，推导出广义均衡定价方程，对CAPM实证检验和投机价格建模有参考价值。
It is shown that the class of elliptical distributions extend the Tobin 14 separation theorem, Bawa's 2 rules of ordering uncertain prospects, Ross's 12 mutual fund separation theorems, and the results of the CAPM to non-normal distributions, which are not necessarily stable. Further, the mean-covariance matrix framework is generalized to a mean-characteristic matrix framework in which the characteristic matrix is the basis for a spread or risk measure, and a generalized equilibrium pricing equation is arrived at. The implications to empirical testing of the CAPM and modeling the empirical distribution of speculative prices are discussed.