I think this must depend on what assumptions you use to get the CAPM.
But a larger question is: what is meant by a CAPM world? Are we just talking about 2 fund separation, or are we talking about beta pricing, or what? This seems ambiguous to me, but it must not be
If we need to assume asset returns are jointly normal, than we can even consider options since they have returns which are either bounded below or above
4 comments:
I think this must depend on what assumptions you use to get the CAPM.
But a larger question is: what is meant by a CAPM world? Are we just talking about 2 fund separation, or are we talking about beta pricing, or what? This seems ambiguous to me, but it must not be
If we need to assume asset returns are jointly normal, than we can even consider options since they have returns which are either bounded below or above
You mean "never" consider options, right?
yes I mean never
Post a Comment