E( /Y) = 0, = [ ]', b = [b, ..., b]' and the vector

Hence, the above sub-Gaussian -stable version of CAPM is not much different from Gamrowski and Rachev's (1999) version of the two-fund sep aration -stable model. As a matter of fact, Gamrowski and Rachev (1999) propose a generalization of Fama's -stable model (1965b) assuming zi = µi + biY + i, for every i = 1, ..., n, where i and Y are -stable distributed and E( /Y) = 0. In view of their assumptions,

E(zi) = z0 + ßi, m (E{x'z) – z0), where ßi, m = l||x'z|| ||x'z||xi =

Differently from Gamrowski and Rachev we impose conditions on the joint distribution of asset returns, we observe that the sub-Gaussian model verifies the two fund separation property and we apply the Ross' necessary and sufficient conditions in order to obtain the linear pricing relation (25). In addition, observe that, in the above sub-Gaussian –stable model, x'Qx = ||x'z||2 and x'Qei = l2 ||x'z||

xi Thus, the coefficient ßi, m of model (24) is equal

to coefficient ßi, m of Gamrowski and Rachev's model, i.e.