Conditions for a CAPM equilibrium with positive prices

DOI10.1016/J.JET.2007.01.004MaRDI QIDQ2469851zbMATH OpenOpenAlexFDO

Authors Moshe Levy

Publication date 11 February 2008

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2007.01.004

zbMATH Keywords

capital asset pricing modelequity premiumsegmented marketpositive prices

Mathematics Subject Classification ID

General equilibrium theory (91B50) Special types of economic equilibria (91B52)

Recommendations

• Two remarks on the uniqueness of equilibria in the CAPM
• A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
• Necessary conditions for the CAPM
• Equilibrium in CAPM without a Riskless Asset
• Existence of equilibrium in CAPM

Cites work

• A \(\mu\)-\(\sigma\)-risk aversion paradox and wealth dependent utility
• A characterization of the distributions that imply mean-variance utility functions
• Existence Theorems in the Capital Asset Pricing Model
• Existence of equilibrium in CAPM
• Market demand functions in the capital asset pricing model
• Necessary conditions for the CAPM

Cited in

(8)

• Necessary conditions for the CAPM
• Equilibria in the CAPM with non-tradeable endowments
• A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
• Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints
• Approximate CAPM when preferences are CRRA
• Mean--variance efficient portfolios with many assets: 50\% short
• Financial market equilibria with heterogeneous agents: CAPM and market segmentation
• The two-fund separation theorem revisited

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