Approximate CAPM when preferences are CRRA

DOI10.1007/S10614-006-9061-3MaRDI QIDQ883129zbMATH OpenOpenAlexFDO

Authors P. Jean-Jacques Herings, Felix Kubler

Publication date 31 May 2007

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://cris.maastrichtuniversity.nl/en/publications/a85e3b7e-f0b5-45b7-bfae-b5e8838f4156

zbMATH Keywords

incomplete marketsgeneral equilibriumasset pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50)

Recommendations

• Necessary conditions for the CAPM
• Two remarks on the uniqueness of equilibria in the CAPM
• A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
• The Consumption-Based Capital Asset Pricing Model
• Conditions for a CAPM equilibrium with positive prices

Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• Computing Equilibria in Finance Economies
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Necessary conditions for the CAPM
• Some Results in the CAPM with Nontraded Endowments
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(2)

• CAPM-anomalies: quantitative puzzles
• A class of models satisfying a dynamical version of the CAPM

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