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Conditions for a CAPM equilibrium with positive prices

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  • Levy, Moshe

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  • Levy, Moshe, 2007. "Conditions for a CAPM equilibrium with positive prices," Journal of Economic Theory, Elsevier, vol. 137(1), pages 404-415, November.
    • Handle: RePEc:eee:jetheo:v:137:y:2007:i:1:p:404-415
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    4. 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.
    5. Green, Richard C, 1986. "Positively Weighted Portfolios on the Minimum-Variance Frontier," Journal of Finance, American Finance Association, vol. 41(5), pages 1051-1068, December.
    6. 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.
    7. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
    8. Allingham, Michael, 1991. "Existence Theorems in the Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 59(4), pages 1169-1174, July.
    9. Roll, Richard, 1969. "Bias in Fitting the Sharpe Model to Time Series Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(3), pages 271-289, September.
    10. Levy, Haim, 1983. "The Capital Asset Pricing Model: Theory and Empiricism," Economic Journal, Royal Economic Society, vol. 93(369), pages 145-165, March.
    11. Nielsen, Lars Tyge, 1987. "Portfolio Selection in the Mean-Variance Model: A Note," Journal of Finance, American Finance Association, vol. 42(5), pages 1371-1376, December.
    12. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    13. Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    14. Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 293-305, September.
    15. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
    16. Ravi Jagannathan & Zhenyu Wang, 1993. "The CAPM is alive and well," Staff Report 165, Federal Reserve Bank of Minneapolis.
    17. Rudd, Andrew, 1977. "A note on qualitative results for investment proportions," Journal of Financial Economics, Elsevier, vol. 5(2), pages 259-263, November.
    18. Owen, Joel & Rabinovitch, Ramon, 1983. "On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
    19. Bottazzi, Jean-Marc & Hens, Thorsten & Loffler, Andreas, 1998. "Market Demand Functions in the Capital Asset Pricing Model," Journal of Economic Theory, Elsevier, vol. 79(2), pages 192-206, April.
    20. Best, Michael J. & Grauer, Robert R., 1992. "Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 513-537, December.
    21. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-317, June.
    22. Roll, Richard & Ross, Stephen A., 1977. "Comments on qualitative results for investment proportions," Journal of Financial Economics, Elsevier, vol. 5(2), pages 265-268, November.
    23. Levy, Haim, 1978. "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio," American Economic Review, American Economic Association, vol. 68(4), pages 643-658, September.
    24. Nielsen, Lars Tyge, 1992. "Positive Prices in CAPM," Journal of Finance, American Finance Association, vol. 47(2), pages 791-808, June.
    25. Roll, Richard & Ross, Stephen A, 1994. "On the Cross-sectional Relation between Expected Returns and Betas," Journal of Finance, American Finance Association, vol. 49(1), pages 101-121, March.
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    Cited by:

    1. Tong, Jun & Hu, Jiaqiao & Hu, Jianqiang, 2017. "Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints," European Journal of Operational Research, Elsevier, vol. 256(1), pages 24-34.
    2. Koch-Medina, Pablo & Wenzelburger, Jan, 2018. "Equilibria in the CAPM with non-tradeable endowments," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 93-107.
    3. Moshe Levy, 2012. "On the Spurious Correlation Between Sample Betas and Mean Returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 341-360, September.
    4. Jan Wenzelburger, 2010. "The two-fund separation theorem revisited," Annals of Finance, Springer, vol. 6(2), pages 221-239, March.
    5. Matteo Del Vigna, 2011. "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics 2011-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    6. Matteo Del Vigna, 2014. "A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 341-348, October.
    7. Haim Levy, 2010. "The CAPM is Alive and Well: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 16(1), pages 43-71, January.

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