Asset Market Equilibrium with Short-Selling

DOI10.2307/2297559zbMath0669.90019OpenAlexW2026648884MaRDI QIDQ3823376

Lars Tyge Nielsen

Publication date: 1989

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297559

zbMATH Keywords

existence of equilibriumasset marketsmean-variance Capital Asset Pricing Model

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Related Items

Equilibrium in an ambiguity-averse mean-variance investors market, Limited arbitrage is necessary and sufficient for the existence of a competitive equilibrium with or without short sales, The partnered core of an economy and the partnered competitive equilibrium, A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium, Arbitrage and equilibrium in unbounded exchange economies with satiation, Diversification and equilibrium in securities markets, Hedging, Pareto optimality, and good deals, Pricing American call options under a hard-to-borrow stock model, No-arbitrage condition and existence of equilibrium with dividends, Arbitrage and the flattening effect of large numbers, A topological invariant for competetive markets, Arbitrage, equilibrium, and gains from trade: A counterexample, Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling, A Computational Algorithm for Equilibrium Asset Pricing Under Heterogeneous Information and Short-Sale Constraints, Existence of Equilibria in Incomplete Markets with Non-Ordered Preferences, Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities, Credit risk in general equilibrium, Risky arbitrage, asset prices, and externalities, Equilibria in the capital market with non-homogeneous investors, OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES, Pricing European call options under a hard-to-borrow stock model, Satiation and existence of competitive equilibrium, Increasing cones, recession cones and global cones, Existence of equilibrium in CAPM, How to discard non-satiation and free-disposal with paper money, Asset market equilibrium in infinite dimensional complete markets, Arbitrage and asset prices, Unbounded exchange economies with satiation: How far can we go?, Competitive equilibria in a comonotone market, Portfolio dominance and optimality in infinite security markets, Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling, EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET, An equilibrium existence result with short selling, Inconsequential arbitrage, On the different notions of arbitrage and existence of equilibrium, Asset market equilibrium in \(L^p\) spaces with separable utilities, Pareto optima in incomplete financial markets, The geometry of arbitrage and the existence of competitive equilibrium.