The Market Model and Capital Asset Pricing Theory: A Note
证明线性市场模型足以推导出贝塔与预期收益的线性关系，且若市场组合收益服从正态分布，该关系斜率与资本资产定价模型一致。
This note shows that a linear market model is sufficient to derive a linear relationship between beta and expected return. Furthermore, the slope of the relationship will be identical with that of the Capital Asset Pricing Model if the return on the market portfolio is normally distributed. However, results from characterization theory suggest that the linear market model assumption is close to that of multivariate normality.