Existence of equilibrium in CAPM

DOI10.1016/0022-0531(90)90076-VzbMath0715.90034MaRDI QIDQ751977

Lars Tyge Nielsen

Publication date: 1990

Published in: Journal of Economic Theory (Search for Journal in Brave)

zbMATH Keywords

mean-variance capital asset pricingnon-monotonicity of preferences

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Related Items

Perspectives of Risk Sharing, Capital market equilibrium with heterogeneous investors, Necessary conditions for the CAPM, Portfolio allocation and asset demand with mean-variance preferences, A Computational Algorithm for Equilibrium Asset Pricing Under Heterogeneous Information and Short-Sale Constraints, Partial derivatives, comparative risk behavior and concavity of utility functions., Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset, The two-fund separation theorem revisited, Equilibria in the capital market with non-homogeneous investors, Equilibria in the CAPM with non-tradeable endowments, Conditions for a CAPM equilibrium with positive prices, Margins on short sales and equilibrium price indeterminacy, Competitive equilibria without free disposal or nonsatiation, A minimax portfolio selection strategy with equilibrium, Optimality conditions in portfolio analysis with general deviation measures, Market demand functions in the capital asset pricing model, EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET, Two remarks on the uniqueness of equilibria in the CAPM, Pareto optima in incomplete financial markets

Cites Work

• A characterization of the distributions that imply mean-variance utility functions
• Concavifiability and constructions of concave utility functions
• Equilibrium in CAPM without a Riskless Asset
• Asset Market Equilibrium with Short-Selling
• Existence Theorems in the Capital Asset Pricing Model
• The Structure of Financial Equilibrium with Exogenous Yields: The Case of Incomplete Markets