Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Two remarks on the uniqueness of equilibria in the CAPM |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Journal of Mathematical Economics |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0304-4068 |
| Volume | 37 |
| Number | 2 |
| Page Range | 123 - 132 |
| Date | 2002 |
| Abstract Text | In the standard ‘capital asset pricing model’ (CAPM) with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents’ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover, in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion. |
| Free access at | Related URL |
| Related URLs | |
| Digital Object Identifier | 10.1016/S0304-4068(02)00012-5 |
| Other Identification Number | merlin-id:19953 |
| Export |
BibTeX
EP3 XML (ZORA)
|