Capital asset pricing model under distribution uncertainty
Capital asset pricing model under distribution uncertainty
<p style='text-indent:20px;'>In this paper, we investigate and demonstrate the capital asset pricing model (CAPM) based on distribution uncertainty (or ambiguity, defined as uncertainty about unknown probability).</p><p style='text-indent:20px;'>We first achieve directly capital asset pricing model based on spectral risk measures (abbreviated as SCAPM) in the case of normal distributions; Then we …