Distribution Moments and Equilibrium: A Comment

Fred D. Arditti and Haim Levy

Journal of Financial and Quantitative Analysis, 1972, vol. 7, issue 1, 1429-1433

Abstract: Using the mean-variance model, Sharpe [5] and Lintner [4] have derived an equilibrium model for price determination under uncertainty. Jean [2] has tried to generalize this model so that other moments of the distribution will be taken into account. The purpose of this note is to show that unlike the Sharpe-Lintner model, Jean's results make no economic sense.

Date: 1972
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