Equilibrium in CAPM without a Riskless Asset

DOI10.2307/2297384MaRDI QIDQ3035090zbMATH OpenOpenAlexFDO

Authors Lars Tyge Nielsen

Publication date 1990

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

Full work available at URL https://doi.org/10.2307/2297384

zbMATH Keywords

capital asset pricing model

Mathematics Subject Classification ID

Utility theory (91B16) General equilibrium theory (91B50)

Recommendations

• Existence of equilibrium in CAPM
• Existence Theorems in the Capital Asset Pricing Model
• Two remarks on the uniqueness of equilibria in the CAPM
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
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Cited in

(25)

• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Pareto optima in incomplete financial markets
• Necessary conditions for the CAPM
• Equilibria in the CAPM with non-tradeable endowments
• How to discard non-satiation and free-disposal with paper money
• Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling
• Two remarks on the uniqueness of equilibria in the CAPM
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• A note on a mean-lower partial moment CAPM without risk-free asset
• Conditions for a CAPM equilibrium with positive prices
• Equilibrium in an ambiguity-averse mean-variance investors market
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• Capital market equilibrium with heterogeneous investors
• Existence Theorems in the Capital Asset Pricing Model
• Financial markets with no riskless (safe) asset
• EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION
• Risk-neutral economy and zero price of risk
• Perspectives of Risk Sharing
• Equilibrium theory with satiable and non-ordered preferences
• Capital market equilibrium without riskless assets: heterogeneous expectations
• The two-fund separation theorem revisited
• Equilibria in the capital market with non-homogeneous investors
• Alternatives to classical option pricing
• Existence of equilibrium in CAPM
• Satiation and existence of competitive equilibrium

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