A Capital Asset Pricing Model Under Stable Paretian Distributions in a Pure Exchange Economy

Abstract In this paper, we established a Capital Asset Pricing Model (CAPM) subject to the assumption that the asset return rates obey symmetric stable Paretian distributions. This assumption seems to be closer to reality than the standard ones such as normality or finite variance. Conclusion similar to the original CAPM formula is drawn in this paper. Supported by the Special Funds for Major State Basic Research Projects of China