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A General Equilibrium Analysis of the Capital Asset Pricing Model

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  • Harris, Richard G.

Abstract

The mean-variance portfolio model of Markowitz and Tobin has been the most substantive contribution to the theory of individual asset demand under uncertainty, in terms of comparative static results and testable implications. Although subject to a number of criticisms at the axiomatic level, it still stands as the classic portfolio model. The general equilibrium extension of the Tobin-Markowitz model due to Sharpe [14], Lintner [9], and Mossin [11] has led to important propositions about the nature of risk in general equilibrium and its effect on the pricing of assets, and the model has subsequently been subjected to extensive empirical testing. It has been used for a variety of purposes in areas ranging from corporate-finance theory to the debate on the social discount rate.

Suggested Citation

  • Harris, Richard G., 1980. "A General Equilibrium Analysis of the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 99-122, March.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:01:p:99-122_00
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    Cited by:

    1. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    2. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
    3. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
    4. Janki Mistry & Ritesh Ashok Khatwani, 2023. "Examining the superiority of the Sharpe single-index model of portfolio selection: A study of the Indian mid-cap sector," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-9, December.
    5. Haim Shalit & Shlomo Yitzhaki, 2009. "Capital market equilibrium with heterogeneous investors," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 757-766.
    6. Haim Shalit & Shlomo Yitzhaki, 2005. "Capital Market Equilibrium: The Mean-Gini Approach," Working Papers 0522, Ben-Gurion University of the Negev, Department of Economics.

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