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

DOI10.1142/S0217595904000308zbMATH Open1056.91020MaRDI QIDQ4650604FDOQ4650604

Authors: Zhiping Chen 

Publication date: 18 February 2005

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

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• scientific article; zbMATH DE number 1895630
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• Asset market equilibrium in \(L^p\) spaces with separable utilities
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
• Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
• The well-posedness of solutions for a nonlinear generalized asset pricing model
• Existence, uniqueness, and stability of optimal payoffs of eligible assets

zbMATH Keywords

utility functionsasset marketoptimal portfolioselliptic distributioneconomic implicationEquilibrium prices

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Equilibrium in CAPM without a Riskless Asset
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• Existence Theorems in the Capital Asset Pricing Model
• Equilibria in the capital market with non-homogeneous investors
• Arbitrage and Existence of Equilibrium in Infinite Asset Markets
• General equilibrium in asset markets with or without short-selling

Cited In (7)

• The existence and determination of equilibrium prices in the asset market with transaction costs under the mean-ES framework
• Title not available (Why is that?)
• 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
• 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

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