On uniqueness of equilibria in the CAPM

In 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 inparticular 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.

MoreLess

Year of publication:	2000-07-01
Authors:	Löffler, Andreas ; Hens, Thorsten ; Laitenberger, Jörg
Publisher:	Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft Institut für Empirische Wirtschaftsforschung <Zürich> Price Waterhouse Coopers Corporate Finance Beratung GmbH <Frankfurt, Main>
Subject:	Capital-Asset-Pricing-Modell \| Risikoaversion \| Einheitlichkeit

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Extent:	192512 bytes 16 p. application/pdf
Series:	Universität Zürich - Wirtschaftswissenschaftliche Fakultät - Institut für Empirische Wirtschaftsforschung - Publikationen
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005840916