Existence Theorems in the Capital Asset Pricing Model

DOI10.2307/2938180zbMATH Open0753.90005OpenAlexW2008519160MaRDI QIDQ3974417FDOQ3974417

Authors: Michael Allingham 

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938180

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zbMATH Keywords

capital asset pricingrisk aversion functionsatiation portfolio

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50) Economic growth models (91B62)

Cited In (25)

• EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION
• Margins on short sales and equilibrium price indeterminacy
• Arbitrage and equilibrium in economies with short-selling and ambiguity
• 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
• Market demand functions in the capital asset pricing model
• Necessary conditions for the CAPM
• Equilibria in the CAPM with non-tradeable endowments
• Capital market equilibrium without riskless assets: heterogeneous expectations
• A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
• Unbounded exchange economies with satiation: How far can we go?
• Conditions for a CAPM equilibrium with positive prices
• A computational algorithm for equilibrium asset pricing under heterogeneous information and short-sale constraints
• Perspectives of Risk Sharing
• Equilibrium theory with satiable and non-ordered preferences
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Financial markets with no riskless (safe) asset
• Continuous equilibrium in affine and information-based capital asset pricing models
• Existence of equilibrium in CAPM
• Partial derivatives, comparative risk behavior and concavity of utility functions.
• Comparative statics under uncertainty: The case of mean-variance preferences.
• Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
• Financial market equilibria with heterogeneous agents: CAPM and market segmentation
• The two-fund separation theorem revisited
• Equilibrium in CAPM without a Riskless Asset

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