A New Statement of the Extended Capital Asset Pricing Model

Tony van Zijl
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Tony van Zijl: Victoria University of Wellington.

Australian Journal of Management, 1984, vol. 9, issue 2, 67-86

Abstract: A fundamental feature of the CAPM is that the investor holds individual assets within a portfolio which is mean variance efficient. In the basic CAPM of Sharp, Lintner, and Mossin, this aspect is acknowledged by stating risk margins relative to an efficient portfolio. This paper proposes a similar statement for the extended CAPM. It is shown that the proposed statement leads to a generalised form of the risk decomposition associated with the basic model, and also facilitates development of a Capital Market Line for the extended model.

Keywords: CAPM; GLOBAL MINIMUM VARIANCE PORTFOLIO (search for similar items in EconPapers)
Date: 1984
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:9:y:1984:i:2:p:67-86

DOI: 10.1177/031289628400900207

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