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Generalized two parameter asset pricing models

Journal of Financial Economics 1978 6(1), 11-32
A series of empirically refutable generalized two parameter asset pricing models that linearly relate risk and return are identified for the power (and quadratic) utility members of the linear risk tolerance capital asset pricing models. Five possible power utility models and the mean variance model are tested to determine whether one model might provide a more accurate description of security pricing. The major empirical result is that the data do not allow us to distinguish between the models.