This section derived the standard asset pricing theory model, the CAPM, and showed how it is related to Stochastic Discount Factor theory and Arbitrage Pricing Theory

Finding Alpha Home

Levy and Markowitz on Utility Assumptions

Fama on Asset Distribution Assumptions

Markowitz 1952 'prospect theory'

Markowitz on History of utility theory

von Neumann-Morgenstern Utility

Theory of Risk Aversion

Sharpe Nobel Lecture

Tobin Nobel Lecture

Markowitz Nobel Lecture

Huberman and Wang on APT

Rubinstein on the History of Theory of Investments

Current Asset Pricing Theory by John Cochrane