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Two remarks on the uniqueness of equilibria in the CAPM


Hens, Thorsten; Laitenberger, Jörg; Löffler, Andreas (2002). Two remarks on the uniqueness of equilibria in the CAPM. Journal of Mathematical Economics, 37(2):123-132.

Abstract

In the standard ‘capital asset pricing model’ (CAPM) with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents’ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover, in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.

Abstract

In the standard ‘capital asset pricing model’ (CAPM) with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents’ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover, in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Economics and Econometrics
Physical Sciences > Applied Mathematics
Language:English
Date:April 2002
Deposited On:24 Nov 2020 15:28
Last Modified:25 Nov 2020 21:01
Publisher:Elsevier
ISSN:0304-4068
OA Status:Closed
Publisher DOI:https://doi.org/10.1016/S0304-4068(02)00012-5
Related URLs:https://www.sciencedirect.com/science/article/abs/pii/S0304406802000125 (Publisher)
Other Identification Number:merlin-id:19953

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