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CONDITIONAL CERTAINTY EQUIVALENT
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The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

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  • 1999Infinite Dimensional Analysis1,120 cited
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  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • 2001A dynamic maximum principle for the optimization of recursive utilities under constraints155 cited
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  • 2009On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures105 cited
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  • 2003A Generalized Stochastic Differential Utility77 cited
  • 2007Horizon-unbiased utility functions

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  • 2011Dual Representation of Quasi-convex Conditional Maps58 cited
  • 2013RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION49 cited
  • 2013An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE39 cited
  • 2016Risk-consistent conditional systemic risk measures36 cited
  • 2017Capital allocation à la Aumann–Shapley for non-differentiable risk measures28 cited
  • 2021Stochastic dynamic utilities and intertemporal preferences1 cited
  • 2020A predictive approach to generalized arithmetic means1 cited