摘要
根据效用理论,投资者在其期终财富的期望效用最大化的要求下选择最佳的组合投资方案,通过改变资本资产定价模型的假设,在完善的资本市场下利用组合投资模型将资本资产定价模型进行适当推广.
Given that investors choose assets portfolio to maximize expected utility, a generalized capital asset pricing formula is derived for perfect markets. In its special cases, it is also proven that CAPM holds for quadratic utility function or multinormal distribution constraint of return rates.
出处
《湖北工业大学学报》
2005年第6期75-77,共3页
Journal of Hubei University of Technology
