author={Jan Mossin},
  • J. Mossin
  • Published 1 October 1966
  • Economics
  • Econometrica
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… 

The Market Price of Risk, Size of Market and Investor's Risk Aversion

A PREVIOUS paper [9] developed a model of the structure of equilibrium prices for risk assets in a purely competitive market in which a set of individually risk averse investors optimize their

A Benchmark Model for Financial Markets

This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general

Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model

Abstract General equilibrium in the classical two-period mean-variance capital asset pricing model is not unique. Corresponding to one single set of expectations, utility functions, and an initial

Marketability of Assets and the Price of Risk

One of the remarkable features of the mean-variance capital asset pricing model is its robustness with respect to changes in assumption (Jensen [1]). An example of this property is given by David

A Robust Capital Asset Pricing Model

We build a market equilibrium theory of asset prices under Knightian uncertainty. Adopting the mean-variance decisionmaking model of Maccheroni, Marinacci, and Ruffino (2013a), we derive explicit

The Capital Asset Pricing Model

The CAPM (capital asset pricing model) has a variety of uses. It provides a theoretical justification for the widespread practice of passive investing by holding index funds. The CAPM can provide

The determinants of the market price of risk

T he original capital asset pricing model (hereafter CAPM) developed by Sharpe (1964), Lintner (1965) and Mossin (1966) was advanced to explain the return differential between risky assets and a

Corporate Investment Criteria and the Valuation of Risk Assets

A normative theory of capital budgeting requires determination of the correct cost of capital for the evaluation and selection of risky investment projects. Since different uses of funds within the

Equilibria in the capital market with non-homogeneous investors

In this paper, we derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in a non-homogeneous capital market consisting of investors whose measure of



Liquidity Preference as Behavior towards Risk

One of basic functional relationships in the Keynesian model of the economy is the liquidity preference schedule, an inverse relationship between the demand for cash balances and the rate of

Equilibrium in a Reinsurance Market

This paper investigates the possibility of generalizing the classical theory of commodity markets to include uncertainty. It is shown that if uncertainty is considered as a commodity, it is possible

The Role of Securities in the Optimal Allocation of Risk-bearing

The theory of the optimal allocation of resources under conditions of certainty is well-known. In the present note, an extension of the theory to conditions of subjective uncertainty is considered.

Communications to the Editor—A Note on Utility and Attitudes to Risk

Most theories of economic decision-making under uncertainty recognize that the value assigned to an uncertain prospect may differ from its "actuarial value," or that the utility of an expectation may

L'Extension des Theories de l'Equilibre Economique General et du Rendement Social au Cas du Risque

The following study proposes to generalize the classical theory of economic equilibrium and of welfare economics to the case of risk. Besides our own work, the only similar attempt which has been


One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/

SCOTT: "Utility

  • Liquidity, and Debt Management," Econometrica,
  • 1963

Portfolio Selection, New York

  • 1959