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Bivariate Spectral Analysis of the Capital Asset Pricing Model

Published online by Cambridge University Press:  06 April 2009

Michael A. Goldberg  and
Ashok Vora
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Extract

Ever since Markowitz introduced the concept of portfolio theory in 1952, one of the questions predominant in the minds of financial theorists has been the constituency of the investor's optimal asset portfolio. Research into this area, which became known as capital market theory, attempted to analyze the equilibrium relationships between assets. One of the products of this research was the widely accepted Capital Asset Pricing Model (CAPM) of Sharpe and Lintner.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 3 , September 1978 , pp. 435 - 459
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

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