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)

zbMATH Keywords

utility functionsasset marketoptimal portfolioselliptic distributioneconomic implicationEquilibrium prices

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3381785 (Why is no real title available?)
• Arbitrage and Existence of Equilibrium in Infinite Asset Markets
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• 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 Theorems in the Capital Asset Pricing Model
• General equilibrium in asset markets with or without short-selling

Cited in

(7)

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

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