Separating risk and return in the CAPM: A general utility-based model1
The author proposes a new utility function which captures trade-offs between return and a large body of risk measures as defined by popular riskreturn models in the management science literature while exhibiting desirable properties for a financial investor. This function forms the basis for an extension to the Capital Asset Pricing Model which links general asymmetric risk measures and riskvalue models with equilibrium asset pricing.
capm finance decision theory riskreturn separation