Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

DOI10.1007/s11579-018-0223-6zbMath1411.91512OpenAlexW3121554771MaRDI QIDQ2633454

Robert A. Jarrow

Publication date: 8 May 2019

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-018-0223-6

zbMATH Keywords

portfolio constraintssystematic riskliquidity riskasset price bubblesasset market equilibriumCCAPMICAPM

Mathematics Subject Classification ID

Related Items (2)

Asset price bubbles, market liquidity, and systemic risk ⋮ Concavity, stochastic utility, and risk aversion

Cites Work

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