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The CAPM versus the risk neutral pricing model. (2002). Pépin, Dominique.
In: Working Papers.
RePEc:hal:wpaper:hal-00966459.

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  1. Campbell, J.Y. [2000], Asset pricing at the millennium , Journal of Finance, 55, 1515-1567. Hansen, L.P., J. Heaton and E.G.J. Luttmer [1995], Econometric evaluation of asset pricing models , Review of Financial Studies, 8, 237-274.

  2. Hansen, L.P. and R. Jagannathan [1997], Assessing specification errors in stochastic discount factor models , Journal of Finance, 52, 557-590.

  3. Harrison, J.M. and D. Kreps [1979], Martingales and arbitrage in multiperiod securities markets , Journal of Economic Theory, 20, 381-408.

  4. Kreps, D.M. [1981], Arbitrage and equilibrium in economies with infinitely many commodities , Journal of mathematical Economics, 8, 15-35.

  5. Lintner, J. [1965], The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets , Review of Economics and Statistics, 47, 13-37.
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  6. Mossin, J. [1966], Equilibrium in a capital asset market , Econometrica, 34, 768-783.
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  7. Ross, S.A. [1978], A simple approach to the valuation of risky streams , Journal of Business, 51, 453-475.

  8. Sharpe, W.F. [1964], Capital asset prices: A theory of market equilibrium under conditions of risk , Journal of Finance, 19, 425-442. hal-00966459, version -27 Mar

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