Portfolio Behaviour and Asset Pricing in a Characteristics Framework

David Blake

Scottish Journal of Political Economy, 1990, vol. 37, issue 4, 343-59

Abstract: This paper argues that the characteristics model of demand provides a unifying framework for examining preference-based asset portfolio behavior and asset pricing. In particular, the author shows that it encompasses a number of very familiar models of portfolio behavior and asset pricing: the state-preference model, the parameter-preference model, the capital asset pricing model, and the intertemporal capital asset pricing model. Copyright 1990 by Scottish Economic Society.

Date: 1990
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