ABSTRACT

In this note, we develop a simple asset pricing model using the relative return to a benchmark. The model makes no assumption on free-risk securities, equilibrium conditions, utility functions, diffusion processes, probability distributions, or return generating processes. Our main result indicates that the asset’s expected return is equal to the expected return of the lowest-risk asset, plus a risk premium directly proportional to the covariance between the asset’s excess return and the benchmark factor. This suggests that an asset pricing model can be built without restrictive assumptions. This also suggests that the classic CAPM can be viewed as a special case of our benchmark model.

摘要

在本说明中，我们使用基准的相对回报开发了一个简单的资产定价模型。该模型不对无风险证券、均衡条件、效用函数、扩散过程、概率分布或收益产生过程进行假设。我们的主要结果表明，资产的预期收益等于最低风险资产的预期收益，加上与资产超额收益与基准因子之间的协方差成正比的风险溢价。这表明可以在没有限制性假设的情况下建立资产定价模型。这也表明经典 CAPM 可以被视为我们基准模型的一个特例。