Equilibria in the CAPM with non-tradeable endowments

DOI10.1016/J.JMATECO.2017.12.004zbMath1388.91146OpenAlexW3124995573MaRDI QIDQ1745657

Jan Wenzelburger, Pablo Koch-Medina

Publication date: 18 April 2018

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2017.12.004

zbMATH Keywords

equilibriumincomplete marketsrisk aversionportfolio choiceCAPMnon-tradeable endowments

Mathematics Subject Classification ID

General equilibrium theory (91B50) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Cites Work

• Capital market equilibrium without riskless assets: heterogeneous expectations
• The two-fund separation theorem revisited
• Existence of equilibrium in CAPM
• Generalized convexity and optimization. Theory and applications
• Two remarks on the uniqueness of equilibria in the CAPM
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• Conditions for a CAPM equilibrium with positive prices
• Equilibrium in CAPM without a Riskless Asset
• Existence and Uniqueness of Equilibria When Preferences are Additively Separable
• Existence Theorems in the Capital Asset Pricing Model
• Some Results in the CAPM with Nontraded Endowments

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