The Market Price of Risk, Size of Market and Investors' Risk Aversion

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【全文链接或数据库名称(选填)】The Market Price of Risk, Size of Market and Investors' Risk Aversion: A CommentAP Budd, RH Litzenberger - The Review of Economics and Statistics, 1972 - JSTOR
In this note we consider one of Lintner's propositions, namely that" the market price of risk in
perfect markets varies inversely with the size of the market." The result is shown not to hold
under an important class of utility functions. Lintner examined market equilibrium under ...
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