Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/159308 
Year of Publication: 
2003
Series/Report no.: 
Quaderni - Working Paper DSE No. 467
Publisher: 
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE), Bologna
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: 
cc-by Logo
Document Type: 
Working Paper

Files in This Item:
File
Size
146.02 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.