Connor, Gregory
(1984)
A Unified Beta Pricing Theory.
Journal of Economic Theory, 34 (1-2).
pp. 13-31.
ISSN 0022-0531
Abstract
This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns. The capital asset pricing model (a restricted case of the mutual fund separation theory) receives special treatment.
| Item Type: |
Article
|
| Keywords: |
Unified; Beta Pricing; mutual fund; separation theory; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
5416 |
| Depositing User: |
Gregory Connor
|
| Date Deposited: |
24 Sep 2014 15:00 |
| Journal or Publication Title: |
Journal of Economic Theory |
| Publisher: |
Academic Press Inc. |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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