The CAPM with Preferences on Relative Consumption: An Explanation to the Home Bias Enigma and Some Price Anomalies
Preprint
- 1 January 1999
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
The paper derives a version of the CAPM in which the preferences of each investor over the set of portfolio returns depend only on the mean and variance of theKeywords
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