Abstract
This article has derived the CAPM under the mean-variance utility function. Thus, it has the following academic significance. Firstly, the article has proposed a new way of deriving the CAPM in addition to the various traditional ones by previous studies of Sharpe(1964), Lintner(1965), Mossin(1966), Huang & Litzenberger(1988), etc. Secondly, by proposing the assumption of mean-variance utility to derive the CAPM, it has contributed to the research on assumptions or conditions for the CAPM such as Markowitz(1959), Tobin(1958, 1969), Borch(1969), Feldstein(1969), Ross(1978), Nielsen(1990), Allingham(1991), Berk(1997), etc. Thirdly, it has proposed an intuitive and simple assumption of mean-variance utility to derive the CAPM unlike the traditional nonintuitive and mathematical assumptions or conditions for the CAPM proposed by preceding researches of Markowitz(1959), Tobin(1958, 1969), Borch(1969), Feldstein(1969), Ross(1978), Nielsen(1990), Allingham(1991), Berk(1997), etc.
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