Journal of Financial and Quantitative Analysis Vol. 7 No. 1 1972
Distribution Moments and Equilibrium: A Comment
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.
- DOI
- 10.2307/2330076
- Volume
- 7
- Issue
- 1
- Pages
- 1429
- Sources
- crossref openalex