演講者簡介 : Prof. Ma, Chenghu 為Ph.D. in Economics，University of Toronto (1992)。
現為Reader in Finance，University of Essex。
其主要領域為Financial Economics、 Intertemporal Asset Pricing 、Financial Derivatives 、Decision Theory under Risk and Uncertainty、Contract Theory and Game Theory。
演講摘要 : This paper establishes conditions under which the classical one period CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if agents are risk averse in the sense of mean-preserving-spread (MPS) the CAPM will necessarily hold, along with two-fund separation. We derive this result without imposing any distributional assumptions on asset returns. The CAPM holds even if the market contains an infinite number of securities. This complements the results of Duffie(1988) who provided an abstract derivation of the CAPM under additional technical assumptions.
In addition we use simple arguments to prove the existence of equilibrium with MPS-risk-averse investors without assuming that the market is complete. Our proof does not require any additional restrictions on the asset returns, except that the co-variance matrix for the returns on the risky securities is non-singular
