Publication | Closed Access
Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model
43
Citations
3
References
1988
Year
Market EquilibriumCost Of CapitalAsset AllocationMarket Equilibrium ComputationFinancial MathematicsAsset PricingManagementUnique Price SystemDifferent EquilibriaEconomicsGeneral Equilibrium TheoryPortfolio AllocationFinanceFinancial EconomicsBusinessGeneral EquilibriumIntertemporal Portfolio ChoiceFinancial EngineeringCapital Structure
General equilibrium in the classical two-period mean-variance capital asset pricing model is not unique. Corresponding to one single set of expectations, utility functions, and an initial wealth distribution, there may be several equilibria, and an asset may have different prices, expected rates of return, and betas in different equilibria. However, any equilibrium portfolio is sustained by a unique price system, and if investors have decreasing risk aversion, then any equilibrium allocation of the risky assets is sustained by a unique price system.
| Year | Citations | |
|---|---|---|
Page 1
Page 1