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Equilibrium with investors using a diversity of deviation measures

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  • Rockafellar, R. Tyrrell
  • Uryasev, Stan
  • Zabarankin, M.

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  • 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.
    • Handle: RePEc:eee:jbfina:v:31:y:2007:i:11:p:3251-3268
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    References listed on IDEAS

    as
    1. Nielsen, Lars Tyge, 1988. "Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 329-336, September.
    2. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
    3. Nielsen, Lars Tyge, 1992. "Positive Prices in CAPM," Journal of Finance, American Finance Association, vol. 47(2), pages 791-808, June.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. 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.
    6. Sharpe, William F, 1991. "Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
    7. Lars Tyge Nielsen, 1989. "Asset Market Equilibrium with Short-Selling," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(3), pages 467-473.
    8. R. Rockafellar & Stan Uryasev & Michael Zabarankin, 2006. "Generalized deviations in risk analysis," Finance and Stochastics, Springer, vol. 10(1), pages 51-74, January.
    9. Allingham, Michael, 1991. "Existence Theorems in the Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 59(4), pages 1169-1174, July.
    10. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    11. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    12. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
    13. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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