Coupled projects, core imputations, and the CAPM
From MaRDI portal
Publication:443759
DOI10.1016/j.jmateco.2012.03.002zbMath1244.91040MaRDI QIDQ443759
Publication date: 13 August 2012
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2012.03.002
two-fund separation; shadow price; transferable utility; core solution; capital asset pricing; variance aversion
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pareto efficiency for the concave order and multivariate comonotonicity
- Private information, transferable utility, and the core
- A characterization of the distributions that imply mean-variance utility functions
- Real effects of money in general equilibrium
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Exchanges and measures of risks
- Infinite horizon CAPM equilibrium
- Integrals of set-valued functions
- The not-quite non-atomic game: non-emptiness of the core in large production games
- On Sharing of Risk and Resources
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- Asset Pricing in Multiperiod Securities Markets
- On the core of linear production games
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- Perspectives of Risk Sharing
- COMONOTONIC MEASURES OF MULTIVARIATE RISKS
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Equilibrium in a Reinsurance Market
- Set-valued analysis
- Stochastic finance. An introduction in discrete time
- Sharing nonconvex costs
