Title: Separating Risk and Return in the CAPM: A General Utility-based Model
Authors: Christian S. Pedersen, University of Cambridge
Date: May 1999
Status: working paper

The author proposes a new utility function which captures trade-offs between return and a large body of risk measures as defined by popular risk-return 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 risk-value models with equilibrium asset pricing.

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