The role of risk aversion in the capital asset pricing model
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Abstract
Two proofs of the CAPM equation each using a different form of risk aversion are recapitulated and confronted with each other. The proof using a weaker form of risk aversion is more involved but conveys greater generality to the validity of the CAPM equation. The relations existing between the various forms of risk aversion are discussed.
Key words
Capital asset pricing model risk aversion mean-variance aversion variance aversionZusammenfassung
Zwei Beweise der CAPM-Gleichung werden wiedergegeben und einander gegenübergestellt, wobei jeder eine andere Form von Risikoaversion voraussetzt. Der Beweis, der die schwächere Form von Risikoaversion benutzt, ist verwickelter, stellt aber die Gültigkeit der CAPM-Gleichung auf eine allgemeinere Grundlage. Die Beziehungen zwischen den verschiedenen Formen von Risikoaversion werden diskutiert.
Schlüsselwörter
Capital Asset Pricing Model Risikoaversion Mittelwert-Varianz-Aversion VarianzaversionPreview
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