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1、THEJOURNALOFFINANCE?VOL.XXXVI,NO.1?MARCH1981InvestmentPolicyImplicationsoftheCapitalAssetPricingModelROBERTR.GRAUER*ABSTRACTTheresultsofpreviousgeneralizedSecurityMarketLine(SML)testsoftheMeanVariance(MV)andLinearRiskTolerance(LRT)CapitalAssetPricingModelsindicatethatthemodelsareempiric

2、allyidentical.Averywidelyaccepted,huttechnicallyincorrect,explanationfortheresultsisthatwithnormalreturndistrihutionsallexpectedutilitymaximizingrisk-averseinvestorswillpickMVportfolios.ThepapershowsthatthegeneralizedSMLtestscannotdistinguishbetweentheMVmodelandamuchwidervarietyofpoweru

3、tilityLRTmodelsthanhaspreviouslyheenentertained.Ontheotherhand,withapproximatelynormal,orrealworld,returndistrihutionstheinvestmentpoliciesofthevariousmodelsareshowntobedifferentfromeachother,andfromtheMVpolicyinparticular.Totheextenttheresultsoftheportfolioselectioncalculationsarerobus

4、t,theresultsof,andimplicationsdrawnfrom,thetestsofthemacropricingrelationsarenotbasedonfirmmicrofoundations.EMPIRICALTESTSOFPOSITIVEtheoriesofassetpricinghavefocusedprimarilyonthelinearriskreturntrade-offpredictedbythemeanvariancecapitalassetpricingmodel(MVCAPM).Thetests(FriendandBlume[

5、9],Black,Jensen,andScholes[2],BlumeandFriend[4],FamaandMacBeth[7])haveprovidedthemodelwithlessthanfuU-fledgedsupport.Moreover,fromatheoreticalview,themodelsuffersfromanumberofwell-knowndeficiencies.Thesetwofactorshaveledseveralauthors(Roll[23],Rubinstein[25,26],Hakansson[16],andGrauer[1

6、1])tosuggestthatoneofthepowerlinearrisktolerance(LRT)utilityfunctionsmayformthebasisofabetterpositivetheoryofassetpricing,inparticular,oneconsistentwithriskyassetsbeingnormalgoods.Butsofartheresultsfrommoregeneralempiricalriskreturntestshaveneithersupportednorfailedtosupportthesuggestio

7、n.Forexample.Roll[23],basedonweeklystockmarketdatafromthe1960s,attemptedtodistinguishbetweenthegrowthoptimalCAPM(whichisconsistentwithlogarithmicutility(only)andwhichinturncanbeviewedasaspecialcaseoftheLRTmodels)andtheMVCAPM,bycomparingtheslopesandinterceptsofthegeneralizedsecu