IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v5y1995i3p233-246.html
   My bibliography  Save this article

Existence Of A Nonnegative Equilibrium Price Vector In The Mean‐Variance Capital Market

Author

Listed:
  • Hiroshi Konno
  • Hiroshi Shirakawa

Abstract

We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean‐variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of p̄, the weighted average of the requested rate of return of individual investors, which tends to infinity as p̄ approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.

Suggested Citation

  • Hiroshi Konno & Hiroshi Shirakawa, 1995. "Existence Of A Nonnegative Equilibrium Price Vector In The Mean‐Variance Capital Market," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 233-246, July.
    • Handle: RePEc:bla:mathfi:v:5:y:1995:i:3:p:233-246
    DOI: 10.1111/j.1467-9965.1995.tb00066.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9965.1995.tb00066.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9965.1995.tb00066.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, M., 2007. "Equilibrium with investors using a diversity of deviation measures," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3251-3268, November.
    2. Deng, Xiao-Tie & Li, Zhong-Fei & Wang, Shou-Yang, 2005. "A minimax portfolio selection strategy with equilibrium," European Journal of Operational Research, Elsevier, vol. 166(1), pages 278-292, October.
    3. Pınar, Mustafa Ç., 2014. "Equilibrium in an ambiguity-averse mean–variance investors market," European Journal of Operational Research, Elsevier, vol. 237(3), pages 957-965.
    4. Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017. "Financial Markets With No Riskless (Safe) Asset," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-24, December.
    5. W. Brent Lindquist & Svetlozar T. Rachev, 2024. "Alternatives to classical option pricing," Papers 2403.17187, arXiv.org.
    6. Bin, Liu, 2015. "A new risk measure and its application in portfolio optimization: The SPP–CVaR approach," Economic Modelling, Elsevier, vol. 51(C), pages 383-390.
    7. Ning Sun & Zaifu Yang, 2003. "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 51-71, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:5:y:1995:i:3:p:233-246. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.