On the Distributional Conditions for a Consumption-oriented Three Moment CAPM
In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption-oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market...
Gespeichert in:
| Veröffentlicht in: | The Journal of finance (New York) 1983-12, Vol.38 (5), p.1381-1391 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1391 |
|---|---|
| container_issue | 5 |
| container_start_page | 1381 |
| container_title | The Journal of finance (New York) |
| container_volume | 38 |
| creator | KRAUS, ALAN LITZENBERGER, ROBERT |
| description | In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption-oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption-oriented CAPM. |
| doi_str_mv | 10.1111/j.1540-6261.1983.tb03830.x |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_194702554</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>2327576</jstor_id><sourcerecordid>2327576</sourcerecordid><originalsourceid>FETCH-LOGICAL-c3860-4723f96570fdb84592e2c1bb1d21c1b4d8b4af639444b2e6e64a42df83ad05ca3</originalsourceid><addsrcrecordid>eNqVkU1LAzEQhoMoWKv_Yaled813sp6UaqtirYjiMWS7Wbpr29Rki-2_N2FFvHhwDpnJ5JmX4Q0AAwQzFOK8yRCjMOWYowzlkmRtAYkkMNvugd7P0z7oQYhxiqDEh-DI-wbGYKwHJtNV0s5Ncl371tXFpq3tSi-SoV2Vdax9UlmX6Njwm-U6tlLrarNqTZm8zJ0xycQuwzUZXj1NjsFBpRfenHznPngd3bwMb9OH6fhuePWQzojkMKUCkyrnTMCqLCRlOTZ4hooClRiFTEtZUF1xklNKC2y44VRTXFaS6BKymSZ9MOh0185-bIxvVWM3LizuFcqpgJgxGqDTPyGcC0QkhjhQFx01c9Z7Zyq1dvVSu51CUEWPVaOikSoaqaLH6ttjtQ3Dl93wZ70wu39Mqvvp6C6WQeKsk2h8a91vCUygCAcWTPCApR0W_slsfzDt3hUXRDD19jhWOXka0Wc5UvfkCw0qnP0</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1297138202</pqid></control><display><type>article</type><title>On the Distributional Conditions for a Consumption-oriented Three Moment CAPM</title><source>Periodicals Index Online</source><source>JSTOR Archive Collection A-Z Listing</source><creator>KRAUS, ALAN ; LITZENBERGER, ROBERT</creator><creatorcontrib>KRAUS, ALAN ; LITZENBERGER, ROBERT</creatorcontrib><description>In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption-oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption-oriented CAPM.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/j.1540-6261.1983.tb03830.x</identifier><identifier>CODEN: JLFIAN</identifier><language>eng</language><publisher>Oxford, UK: Blackwell Publishing Ltd</publisher><subject>Allocative efficiency ; Capital asset pricing models ; Capital assets ; Capital markets ; Efficiency ; Financial securities ; Investment return rates ; Marginal utility ; Mathematical moments ; Pareto efficiency ; Pareto optimum ; Portfolio management ; Pricing ; Rates of return ; Risk aversion ; Skewed distribution ; Studies ; Utility functions</subject><ispartof>The Journal of finance (New York), 1983-12, Vol.38 (5), p.1381-1391</ispartof><rights>Copyright 1983 The American Finance Association</rights><rights>1983 the American Finance Association</rights><rights>Copyright Blackwell Publishers Inc. Dec 1983</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c3860-4723f96570fdb84592e2c1bb1d21c1b4d8b4af639444b2e6e64a42df83ad05ca3</citedby><cites>FETCH-LOGICAL-c3860-4723f96570fdb84592e2c1bb1d21c1b4d8b4af639444b2e6e64a42df83ad05ca3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2327576$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/2327576$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,803,27869,27924,27925,58017,58250</link.rule.ids></links><search><creatorcontrib>KRAUS, ALAN</creatorcontrib><creatorcontrib>LITZENBERGER, ROBERT</creatorcontrib><title>On the Distributional Conditions for a Consumption-oriented Three Moment CAPM</title><title>The Journal of finance (New York)</title><description>In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption-oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption-oriented CAPM.</description><subject>Allocative efficiency</subject><subject>Capital asset pricing models</subject><subject>Capital assets</subject><subject>Capital markets</subject><subject>Efficiency</subject><subject>Financial securities</subject><subject>Investment return rates</subject><subject>Marginal utility</subject><subject>Mathematical moments</subject><subject>Pareto efficiency</subject><subject>Pareto optimum</subject><subject>Portfolio management</subject><subject>Pricing</subject><subject>Rates of return</subject><subject>Risk aversion</subject><subject>Skewed distribution</subject><subject>Studies</subject><subject>Utility functions</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1983</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNqVkU1LAzEQhoMoWKv_Yaled813sp6UaqtirYjiMWS7Wbpr29Rki-2_N2FFvHhwDpnJ5JmX4Q0AAwQzFOK8yRCjMOWYowzlkmRtAYkkMNvugd7P0z7oQYhxiqDEh-DI-wbGYKwHJtNV0s5Ncl371tXFpq3tSi-SoV2Vdax9UlmX6Njwm-U6tlLrarNqTZm8zJ0xycQuwzUZXj1NjsFBpRfenHznPngd3bwMb9OH6fhuePWQzojkMKUCkyrnTMCqLCRlOTZ4hooClRiFTEtZUF1xklNKC2y44VRTXFaS6BKymSZ9MOh0185-bIxvVWM3LizuFcqpgJgxGqDTPyGcC0QkhjhQFx01c9Z7Zyq1dvVSu51CUEWPVaOikSoaqaLH6ttjtQ3Dl93wZ70wu39Mqvvp6C6WQeKsk2h8a91vCUygCAcWTPCApR0W_slsfzDt3hUXRDD19jhWOXka0Wc5UvfkCw0qnP0</recordid><startdate>198312</startdate><enddate>198312</enddate><creator>KRAUS, ALAN</creator><creator>LITZENBERGER, ROBERT</creator><general>Blackwell Publishing Ltd</general><general>American Finance Association</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>FIXVA</scope><scope>FUVTR</scope><scope>JILTI</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>198312</creationdate><title>On the Distributional Conditions for a Consumption-oriented Three Moment CAPM</title><author>KRAUS, ALAN ; LITZENBERGER, ROBERT</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3860-4723f96570fdb84592e2c1bb1d21c1b4d8b4af639444b2e6e64a42df83ad05ca3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1983</creationdate><topic>Allocative efficiency</topic><topic>Capital asset pricing models</topic><topic>Capital assets</topic><topic>Capital markets</topic><topic>Efficiency</topic><topic>Financial securities</topic><topic>Investment return rates</topic><topic>Marginal utility</topic><topic>Mathematical moments</topic><topic>Pareto efficiency</topic><topic>Pareto optimum</topic><topic>Portfolio management</topic><topic>Pricing</topic><topic>Rates of return</topic><topic>Risk aversion</topic><topic>Skewed distribution</topic><topic>Studies</topic><topic>Utility functions</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>KRAUS, ALAN</creatorcontrib><creatorcontrib>LITZENBERGER, ROBERT</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 03</collection><collection>Periodicals Index Online Segment 06</collection><collection>Periodicals Index Online Segment 32</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>KRAUS, ALAN</au><au>LITZENBERGER, ROBERT</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>On the Distributional Conditions for a Consumption-oriented Three Moment CAPM</atitle><jtitle>The Journal of finance (New York)</jtitle><date>1983-12</date><risdate>1983</risdate><volume>38</volume><issue>5</issue><spage>1381</spage><epage>1391</epage><pages>1381-1391</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption-oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption-oriented CAPM.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1540-6261.1983.tb03830.x</doi><tpages>11</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 1983-12, Vol.38 (5), p.1381-1391 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_journals_194702554 |
| source | Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | Allocative efficiency Capital asset pricing models Capital assets Capital markets Efficiency Financial securities Investment return rates Marginal utility Mathematical moments Pareto efficiency Pareto optimum Portfolio management Pricing Rates of return Risk aversion Skewed distribution Studies Utility functions |
| title | On the Distributional Conditions for a Consumption-oriented Three Moment CAPM |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-26T07%3A28%3A32IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=On%20the%20Distributional%20Conditions%20for%20a%20Consumption-oriented%20Three%20Moment%20CAPM&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=KRAUS,%20ALAN&rft.date=1983-12&rft.volume=38&rft.issue=5&rft.spage=1381&rft.epage=1391&rft.pages=1381-1391&rft.issn=0022-1082&rft.eissn=1540-6261&rft.coden=JLFIAN&rft_id=info:doi/10.1111/j.1540-6261.1983.tb03830.x&rft_dat=%3Cjstor_proqu%3E2327576%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1297138202&rft_id=info:pmid/&rft_jstor_id=2327576&rfr_iscdi=true |