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

Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (2)

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

Cites Work

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