【摘 要】
：
The problems about probability distribution and mean estimation of the market portfolio of risk assets in CAPM were discussed.Under the prerequisite that th
【机 构】
：
School of Management, Fuzhou University, Fuzhou, Fujian Province
【出 处】
：
2009 International Conference on Financial Statistics and Fi
论文部分内容阅读
The problems about probability distribution and mean estimation of the market portfolio of risk assets in CAPM were discussed.Under the prerequisite that the model of stock price behavior is described by the Wiener processes (also call Brown motion),the market portfolio in CAPM obeys the additive logistic normal distribution was proved.Three estimations of the mean of the market portfolio were shown.Only on the basis of that,the empirical tests on CAPM are of theoretical stricture.
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