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Capital Asset Prices. With and Without Negative Holding/Nobel Lectures, Economics 1981-1990, World Scientific Publishing Co., Singapore

Опубликовано на портале: 05-12-2003
Singapore: World Scientific Publishing Company, 1992, cерия "Nobel Lectures", 344 с.
В 1990 году американский экономист Уильям Шарп получил премию памяти Альфреда Нобеля по экономике за вклад в развитие финансовой экономики.

Данная публикация представляет собой его нобелевскую лекцию, которую он посвятил принципам функционирования финансового капитала предприятия в условиях рыночной экономики. Лекция написана простым английским языком. Она находится в открытом доступе на официальном сайте.

"Following tradition, I deal here with the Capital Asset Pricing Model, a subject with which I have been associated for over 25 years, and which the Royal Swedish Academy of Sciences has cited in honoring me with the award of the Prize in Economic Sciences in Memory of Alfred Nobel.

I first present the Capital Asset Pricing Model (hence, CAPM), incorporating not only my own contributions 1 but also the outstanding work of Lintner (1965, 1969) and the contributions of Mossin (1966) and others. My goal is to do so succinctly yet in a manner designed to emphasize the economic content of the theory.

Following this, I modify the model to reflect an extreme case of an institutional arrangement that can preclude investors from choosing fully optimal portfolios. In particular, I assume that investors are unable to take negative positions in assets. For this version of the model I draw heavily from papers by Glenn (1976), Levy (1978), Merton (1987) and Markowitz (1987, 1990)..."