Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This article considers a financial market in which asset returns are stipulated by an exogenous stochastic process. It argues that the market portfolio should be replaced by a modified market portfolio which by construction is mean-variance efficient. All classical tenets of the CAPM are established without using any of its restrictive assumptions. A valuation formula and beta coefficients that capture the full cross sectional variability of the returns process are introduced, allowing for a distinction between systematic and non-systematic risk. It is shown that the modified market portfolio does, in general, not coincide with the traditional market portfolio.