Capital market equilibrium without riskless assets: heterogeneous expectations
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Publication:665810
DOI10.1007/S10436-007-0074-2zbMath1233.91123OpenAlexW2032601068MaRDI QIDQ665810
Nicholas C. Yannelis, Dong Chul Won, Guangsug Hahn
Publication date: 6 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-007-0074-2
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Live fast, die young: equilibrium and survival in large economies ⋮ On the implied market price of risk under the stochastic numéraire ⋮ Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios ⋮ The two-fund separation theorem revisited ⋮ Equilibria in the CAPM with non-tradeable endowments ⋮ Equilibrium theory with unbounded consumption sets and non-ordered preferences. I: Non-satiation ⋮ Equilibrium theory with satiable and non-ordered preferences ⋮ Satiation and existence of competitive equilibrium ⋮ Unbounded exchange economies with satiation: How far can we go?
Cites Work
- Existence of maximal elements and equilibria in linear topological spaces
- Walras and dividends equilibrium with possibly satiated consumers
- On the different notions of arbitrage and existence of equilibrium
- Inconsequential arbitrage
- An equilibrium existence result with short selling
- Equilibrium in CAPM without a Riskless Asset
- Arbitrage and the Existence of Competitive Equilibrium
- Existence Theorems in the Capital Asset Pricing Model
- Convex Analysis
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