EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION

DOI10.1142/S0217595904000308MaRDI QIDQ4650604zbMATH OpenFDO

Authors Zhiping Chen

Publication date 18 February 2005

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0217595904000308

zbMATH Keywords

asset marketeconomic implicationelliptic distributionEquilibrium pricesoptimal portfoliosutility functions

Mathematics Subject Classification ID

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

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Cites work

• Arbitrage and Existence of Equilibrium in Infinite Asset Markets
• Equilibria in the capital market with non-homogeneous investors
• Equilibrium in CAPM without a Riskless Asset
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• Existence Theorems in the Capital Asset Pricing Model
• General equilibrium in asset markets with or without short-selling
• scientific article; zbMATH DE number 3381785 (Why is no real title available?)

Cited in

(8)

• Uniqueness of asset prices in an exchange economy with unbounded utility
• Asset market equilibrium in L^p spaces with separable utilities
• Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling
• Stability of equilibrium asset pricing models: a necessary and sufficient condition
• The existence and determination of equilibrium prices in the asset market with transaction costs under the mean-ES framework
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• scientific article; zbMATH DE number 1895630 (Why is no real title available?)
• Existence, uniqueness, and stability of optimal payoffs of eligible assets

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