Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159307
Authors: 
Colombo, Luca
Lambertini, Luca
Mantovani, Andrea
Year of Publication: 
2003
Series/Report no.: 
Quaderni - Working Paper DSE 466
Abstract: 
In this paper we propose a simple, intuitive approach to asset valuation in terms of marginal contributions to the characteristics (moments) of the market portfolio. Considering only the first two moments, mean and variance, the valuation equation is shown to correspond to Sharpe's CAPM. A risk-neutral pricing formula is easily derived, showing the equivalence between CAPM and the Black and Scholes' model. Extensions to higher moments like skewness and kurtosis are straightforward, providing a generalized valuation equation. Finally, the generalized equation is derived in a different, more rigorous way, as a result of a classical intertemporal general equilibrium model.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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