以下是引用xiaolaby在2007-9-8 18:21:00的发言： 一个浅显问题，既然emerging market 的股票价格走势不属于正态分布，那 variance-mean 的analysis就不适用。
那是否 。 CAPM 假设中的同质期望是否也不存在了呢，贝塔还是否起作用了呢
This is not 浅显 at all.
1) Even developed market stocks do not have normal (Gaussian) returns
2) Even if returns are non-Gaussian, mean-variance optimization still makes sense using a quadratic utility function
3) If every investor is a mean-variance optimizer and has agreement on what means, variances, and covariances are, you end up with CAPM
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