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http://ssrn.com/abstract=628187
 
 

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Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'


Craig W. French


WBI Investments

December 28, 2002



Abstract:     
This paper reprints an edited version of Jack Treynor's famous 1962 manuscript. The author's facsimile of the original mimeograph was obtained thanks to the kind generosity of Professor Elroy Dimson of the London Business School. Edits in the present version, which differ from the original Rough Draft, include minor typographical corrections and minor notation differences for some variables in the formulae. Specifically, where Mr. Treynor used a bar or curve over a variable, I use an underscore, and I have omitted the upper and lower limits (and their index) above and below all Sigma summation signs as the nature of the summations is clear. Pagination is as in the original.

I have otherwise attempted, in this replica, to preserve the vintage character of the document, including font style, spacing, margins and a reproduction of the wonderful color reminiscent of the days prior to the invention of photocopy machines and modern portfolio theory. Unfortunately, I could not replicate the mimeo aroma.

Mr. Treynor points out that many minor changes will be evident to anyone who compares the Craig French version to the version in Robert Korajczyk's book, Asset Pricing and Portfolio Performance, Risk Books, London, 1999 [Chapter 2]. Mr. Treynor considers all French's changes improvements.

Number of Pages in PDF File: 19

Keywords: Treynor, capital, asset, pricing, model, market, value, risk

JEL Classification: G12, B31

working papers series





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Date posted: December 8, 2004  

Suggested Citation

French, Craig W., Jack Treynor's 'Toward a Theory of Market Value of Risky Assets' (December 28, 2002). Available at SSRN: http://ssrn.com/abstract=628187 or http://dx.doi.org/10.2139/ssrn.628187

Contact Information

Craig W. French (Contact Author)
WBI Investments ( email )
34 Sycamore Ave
Little Silver, NJ 07739
United States
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