EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET

DOI10.1111/j.1467-9965.1995.tb00066.xzbMath0866.90033MaRDI QIDQ3126235

Hiroshi Konno, Hiroshi Shirakawa

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00066.x

zbMATH Keywords

stability analysis; capital asset pricing model; necessary and sufficient condition; existence of a nonnegative equilibrium price vector; mean-variance capital market

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

Related Items

EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION, Arbitrage and control problems in finance. A presentation, Equilibria in the capital market with non-homogeneous investors, A minimax portfolio selection strategy with equilibrium, Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling

Cites Work

• Existence of equilibrium in CAPM
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Equilibrium in CAPM without a Riskless Asset
• Arbitrage and the Existence of Competitive Equilibrium
• Asset Market Equilibrium with Short-Selling
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