Systematic Risk∗
نویسندگان
چکیده
We rely on the Aumann-Shapley solution concept to offer a general measure of systematic risk, capturing the contribution of an asset to the risk of a portfolio. Our measure applies to a wide class of risk measures, potentially accounting for high distribution moments, rare disasters, and other risk attributes. In the special case where risk is measured using “variance,”our measure coincides with the traditional “beta.”We then study a general equilibrium setting in which investors trade off expected return for risk, where the term “risk” is broadly defined. We provide suffi cient conditions for two-fund money separation, and for the effi ciency of the market portfolio. Finally, we derive a general version of the security market line in which our new measure of systematic risk emerges naturally as a generalization of “beta.”
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