EQUILIBRIUM IN A CAPITAL ASSET MARKET

@article{Mossin1966EQUILIBRIUMIA,
  title={EQUILIBRIUM IN A CAPITAL ASSET MARKET},
  author={Jan Mossin},
  journal={Econometrica},
  year={1966},
  volume={34},
  pages={768}
}
This paper investigates the properties of a market for risky assets on the basis of a simple model of general equilibrium of exchange, where individual investors seek to maximize preference functions over expected yield and variance of yield on their port- folios. A theory of market risk premiums is outlined, and it is shown that general equilibrium implies the existence of a so-called "market line," relating per dollar expected yield and standard deviation of yield. The concept of price of… Expand
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