Grauer, Robert R. - In: Management Science 31 (1985) 11, pp. 1390-1402
This paper employs numerical means to examine: (i) the expected return-beta plot in power utility Linear Risk Tolerance … (LRT) economies, and (ii) whether, in the power utility economies, a valuation equation containing covariance and … tests of the Mean Variance Capital Asset Pricing Model (MV CAPM). Hence a power utility LRT CAPM may provide a better theory …