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Coupled projects, core imputations, and the CAPM

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  • Didrik Flåm, Sjur

Abstract

Projects, private or public, that share input factors or output requirements had better be construed as members of a portfolio. Present risk, the capital asset pricing model may facilitate valuation of each member. Chief results of that model are derived and generalized here as core solutions to a transferable-utility production game. Shadow prices define stochastic discount factors that determine values of individual projects. Variance aversion largely affects such prices whence optimal allocations.

Suggested Citation

  • Didrik Flåm, Sjur, 2012. "Coupled projects, core imputations, and the CAPM," Journal of Mathematical Economics, Elsevier, vol. 48(3), pages 170-176.
    • Handle: RePEc:eee:mateco:v:48:y:2012:i:3:p:170-176
    DOI: 10.1016/j.jmateco.2012.03.002
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    References listed on IDEAS

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    Cited by:

    1. Sjur Didrik Flåm, 2013. "Reaching Market Equilibrium Merely by Bilateral Barters," CESifo Working Paper Series 4504, CESifo.

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