EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET

DOI10.1111/j.1467-9965.1995.tb00066.xzbMath0866.90033OpenAlexW2078768037MaRDI QIDQ3126235

Hiroshi Konno, Hiroshi Shirakawa

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00066.x

zbMATH Keywords

stability analysiscapital asset pricing modelnecessary and sufficient conditionexistence of a nonnegative equilibrium price vectormean-variance capital market

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Equilibrium in an ambiguity-averse mean-variance investors market ⋮ FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET ⋮ Robust portfolio optimization with a generalized expected utility model under ambiguity ⋮ Equilibria in the capital market with non-homogeneous investors ⋮ EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION ⋮ Arbitrage and control problems in finance. A presentation ⋮ A minimax portfolio selection strategy with equilibrium ⋮ A note on a minimax rule for portfolio selection and equilibrium price system ⋮ Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling

Cites Work

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• Arbitrage and the Existence of Competitive Equilibrium
• Asset Market Equilibrium with Short-Selling