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Contribution Details
| Type | Book Chapter |
| Scope | Discipline-based scholarship |
| Title | A theoretical analysis of the mean Slutsky-income effect in the CAPM |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
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| Booktitle | Economics Essays : a Festschrift for Werner Hildenbrand |
| ISBN | 978-3-642-07539-1 |
| Place of Publication | Berlin |
| Publisher | Springer |
| Page Range | 201 - 212 |
| Date | 2001 |
| Abstract Text | The purpose of this paper is to demonstrate that in the Capital Asset Pricing Model (CAPM) the mean Slutsky-income effect is positive if on average investors have non-increasing absolute risk aversion. Together with some lower bounds on the degree to which absolute risk aversion decreases with income this result will be shown to be sufficient for the uniqueness of CAPM-equilibria. |
| Digital Object Identifier | 10.1007/978-3-662-04623-4_13 |
| Other Identification Number | merlin-id:19977 |
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| Keywords | Risk aversion, risky asset, competitive equilibrium, indifference curve, wealth effect |