A CAPM extension with size factor and VIX normalization is fitted to data, shown stable over long horizons, and linked to Stochastic Portfolio Theory as an update to the authors' prior work.
Equilibrium in a Capital Asset Market
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Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
A CAPM extension with size factor and VIX normalization is fitted to data, shown stable over long horizons, and linked to Stochastic Portfolio Theory as an update to the authors' prior work.