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On Uniqueness of Equilibria in the CAPM


Hens, Thorsten; Laitenberger, Jörg; Löffler, Andreas (2000). On Uniqueness of Equilibria in the CAPM. Working paper series / Institute for Empirical Research in Economics No. 39, University of Zurich.

Abstract

"- This paper replaces the paper ""Existence and Uniqueness of Equilibria in the CAPM"" -nIn the standard 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

"- This paper replaces the paper ""Existence and Uniqueness of Equilibria in the CAPM"" -nIn the standard 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:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:July 2000
Deposited On:29 Nov 2011 21:26
Last Modified:08 Mar 2024 13:52
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
OA Status:Green
Other Identification Number:merlin-id:5812