Jove
Visualize
Contact Us
JoVE
x logofacebook logolinkedin logoyoutube logo
ABOUT JoVE
OverviewLeadershipBlogJoVE Help Center
AUTHORS
Publishing ProcessEditorial BoardScope & PoliciesPeer ReviewFAQSubmit
LIBRARIANS
TestimonialsSubscriptionsAccessResourcesLibrary Advisory BoardFAQ
RESEARCH
JoVE JournalMethods CollectionsJoVE Encyclopedia of ExperimentsArchive
EDUCATION
JoVE CoreJoVE BusinessJoVE Science EducationJoVE Lab ManualFaculty Resource CenterFaculty Site
Terms & Conditions of Use
Privacy Policy
Policies

Related Experiment Videos

The capital-asset-pricing model and arbitrage pricing theory: a unification.

M Ali Khan1, Y Sun

  • 1Department of Economics, Johns Hopkins University, Baltimore, MD 21218, USA.

Proceedings of the National Academy of Sciences of the United States of America
|April 15, 1997
PubMed
Summary
This summary is machine-generated.

Related Concept Videos

You might also read

Related Articles

Articles linked to this work by shared authors, journal, and citation graph.

Sort by
Same author

Race and Vision Outcomes in Ranibizumab-Treated Participants With Diabetic Macular Edema: A Meta-Analysis.

JAMA ophthalmology·2025
Same author

Discourse on measurement.

Proceedings of the National Academy of Sciences of the United States of America·2025
Same author

Reply: "Integrity" Assessment Following Rhegmatogenous Retinal Detachment Repair.

Ophthalmic surgery, lasers & imaging retina·2025
Same author

Scleral fixated intraocular lens techniques for the vitreoretinal surgeon: an update.

Current opinion in ophthalmology·2024
Same author

Retinal Displacement Following Rhegmatogenous Retinal Detachment Repair.

Ophthalmic surgery, lasers & imaging retina·2024
Same author

Retinal Tear and Retinal Detachment after Cataract Surgery in Eyes with a Previous History of Treated Phakic Retinal Tears.

Ophthalmology·2024
Same journal

In This Issue.

Proceedings of the National Academy of Sciences of the United States of America·2026
Same journal

Correction for Otsuki et al., Extracellular sulfatases support cartilage homeostasis by regulating BMP and FGF signaling pathways.

Proceedings of the National Academy of Sciences of the United States of America·2026
Same journal

Hive mind: Microbial communities and the making of memory.

Proceedings of the National Academy of Sciences of the United States of America·2026
Same journal

Targets for disease modification in schizophrenia: New findings add to evidence for the involvement of the immune complement system.

Proceedings of the National Academy of Sciences of the United States of America·2026
Same journal

Correction for Wang et al., The role of reduced aerosol masking from air pollutant emission reductions in recent global warming acceleration (2013-2023).

Proceedings of the National Academy of Sciences of the United States of America·2026
Same journal

Correction for Mishra, Ecology is not yet ready for AI-and why that matters.

Proceedings of the National Academy of Sciences of the United States of America·2026
See all related articles

This study distinguishes naive diversification from efficient diversification, developing a valuation formula based on essential risk. It unifies asset pricing theories and reveals phenomena beyond classical methods.

Area of Science:

  • Financial economics
  • Mathematical finance
  • Asset pricing theory

Background:

  • Distinguishes naive diversification (law of large numbers) from efficient diversification (mean-variance analysis).
  • Highlights limitations of classical methods in financial modeling with large asset continua.

Purpose of the Study:

  • To present a unified financial market model.
  • To derive a valuation formula based on essential risk.
  • To reconcile arbitrage pricing theory and capital-asset-pricing model.

Main Methods:

  • Developed a model distinguishing naive and efficient diversification.
  • Utilized a procedure analogous to Karhunen-Loéve expansion for factor selection.
  • Employed a hyperfinite Loeb measure space for an idealized continuum of assets.

Related Experiment Videos

Main Results:

  • Yielded a valuation formula based on essential risk.
  • Unified arbitrage pricing theory and capital-asset-pricing model.
  • Demonstrated equivalence to the no-arbitrage principle.
  • Identified phenomena not amenable to classical methods.

Conclusions:

  • The model provides a unified framework for asset pricing.
  • Essential risk is key for asset valuation.
  • The approach uncovers novel financial phenomena beyond classical analysis.