Equilibria in the CAPM with non-tradeable endowments

DOI10.1016/J.JMATECO.2017.12.004MaRDI QIDQ1745657zbMATH OpenOpenAlexFDO

Authors Pablo Koch-Medina, Jan Wenzelburger

Publication date 18 April 2018

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2017.12.004

zbMATH Keywords

CAPMequilibriumportfolio choicerisk aversionincomplete marketsnon-tradeable endowments

Mathematics Subject Classification ID

Portfolio theory (91G10) General equilibrium theory (91B50) Actuarial science and mathematical finance (91G99)

Recommendations

• Some Results in the CAPM with Nontraded Endowments
• Two remarks on the uniqueness of equilibria in the CAPM
• Equilibrium in CAPM without a Riskless Asset
• Existence Theorems in the Capital Asset Pricing Model
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset

Cites work

• Capital market equilibrium without riskless assets: heterogeneous expectations
• Conditions for a CAPM equilibrium with positive prices
• Equilibrium in CAPM without a Riskless Asset
• Existence Theorems in the Capital Asset Pricing Model
• Existence and Uniqueness of Equilibria When Preferences are Additively Separable
• Existence of equilibrium in CAPM
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• Generalized convexity and optimization. Theory and applications
• Some Results in the CAPM with Nontraded Endowments
• The two-fund separation theorem revisited
• Two remarks on the uniqueness of equilibria in the CAPM

Cited in

(3)

• 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
• The distribution of betas in presence of nontraded assets

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