The Robustness of CAPM-A Computational Approach

نویسندگان

  • P. Jean-Jacques Herings
  • Felix Kubler
چکیده

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically approximate equilibria for a variety of di erent speci cations for preferences, endowments and dividends and compare the equilibrium prices and portfolio-holdings to the predictions of CAPM. While we show that CAPM cannot hold exactly for the chosen speci cation, it turns out that pricing-errors are extremely small. Furthermore, two-fund separation holds approximately. JEL codes: C61, C62, C63, C68, D52, D58, G11, G12.

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تاریخ انتشار 2000