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Existence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asset

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  • Dana, Rose-Anne

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  • Dana, Rose-Anne, 1999. "Existence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asset," Journal of Mathematical Economics, Elsevier, vol. 32(2), pages 167-175, October.
    • Handle: RePEc:eee:mateco:v:32:y:1999:i:2:p:167-175
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    1. Kehoe, Timothy J & Levine, David K, 1985. "Comparative Statics and Perfect Foresight in Infinite Horizon Economies," Econometrica, Econometric Society, vol. 53(2), pages 433-453, March.
    2. 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.
    3. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
    4. Dana, Rose Anne, 1993. "Existence and Uniqueness of Equilibria When Preferences Are Additively Separable," Econometrica, Econometric Society, vol. 61(4), pages 953-957, July.
    5. Mas-Colell,Andreu, 1990. "The Theory of General Economic Equilibrium," Cambridge Books, Cambridge University Press, number 9780521388702, October.
    6. 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.
    7. Allingham, Michael, 1991. "Existence Theorems in the Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 59(4), pages 1169-1174, July.
    8. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-1418, November.
    9. Lars Tyge Nielsen, 1990. "Equilibrium in CAPM Without a Riskless Asset," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(2), pages 315-324.
    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.
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    Cited by:

    1. 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.
    2. repec:dau:papers:123456789/5374 is not listed on IDEAS
    3. Jan Wenzelburger, 2010. "The two-fund separation theorem revisited," Annals of Finance, Springer, vol. 6(2), pages 221-239, March.
    4. Lajeri-Chaherli, Fatma, 2003. "Partial derivatives, comparative risk behavior and concavity of utility functions," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 81-99, August.
    5. Ma, Chenghu & Hu, Jianqiang & Xu, Yifan, 2018. "Margins on short sales and equilibrium price indeterminacy," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 79-92.
    6. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    7. Fatma Lajeri-Chaherli, 2016. "On The Concavity And Quasiconcavity Properties Of ( Σ , Μ ) Utility Functions," Bulletin of Economic Research, Wiley Blackwell, vol. 68(3), pages 287-296, April.
    8. Christoph Czichowsky & Martin Herdegen & David Martins, 2024. "Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets," Papers 2408.03134, arXiv.org.
    9. Wenzelburger, Jan, 2008. "A Note on the Two-fund Separation Theorem," MPRA Paper 11014, University Library of Munich, Germany, revised 31 Sep 2008.
    10. Chiaki Hara, 2018. "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers 1005, Kyoto University, Institute of Economic Research.
    11. Hens, Thorsten & Laitenberger, Jorg & Loffler, Andreas, 2002. "Two remarks on the uniqueness of equilibria in the CAPM," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 123-132, April.
    12. Thorsten Hens & Joerg Laitenberger & Andreas Loeffler, "undated". "On Uniqueness of Equilibria in the CAPM - (This paper replaces "Existence and Uniqueness of Equilibria in the CAPM")," IEW - Working Papers 039, Institute for Empirical Research in Economics - University of Zurich.

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