Existence Theorems in the Capital Asset Pricing Model

DOI10.2307/2938180MaRDI QIDQ3974417zbMATH OpenOpenAlexFDO

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

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)

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• Existence of equilibrium in CAPM
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Cited in

(25)

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

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