On Uniqueness of Equilibria in the CAPM
Author | : Thorsten Hens |
Publisher | : |
Total Pages | : 17 |
Release | : 2000 |
Genre | : |
ISBN | : |
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Author | : Thorsten Hens |
Publisher | : |
Total Pages | : 17 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Thorsten Hens |
Publisher | : |
Total Pages | : 17 |
Release | : 2004 |
Genre | : |
ISBN | : |
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 in particular 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.
Author | : Thorsten Hens |
Publisher | : |
Total Pages | : 26 |
Release | : 1997 |
Genre | : |
ISBN | : |
Author | : Rose-Anne Dana |
Publisher | : |
Total Pages | : 4 |
Release | : 1994 |
Genre | : |
ISBN | : |
Author | : Thorsten Hens |
Publisher | : Springer Science & Business Media |
Total Pages | : 313 |
Release | : 2013-03-09 |
Genre | : Business & Economics |
ISBN | : 1475753179 |
The purpose of this book is to give a sound economic foundation of finance. Finance is a coherent branch of applied economics that is designed to understand financial markets in order to give advice for practical financial decisions. This book argues that for a sound economic foundation of finance the famous general equilibrium model which in its modern form emphasizes the incompleteness of financial markets is well suited. The aim of the book is to demonstrate that financial markets can be meaningfully embedded into a more general system of markets including, for example, commodity markets. The interaction of these markets can be described via the well known notion of a competitive equilibrium. We argue that for a sound foundation this competitive equilibrium should be unique. In a first step we demonstrate that this essential goal cannot of be achieved based only on the rationality principle, i. e. on the assumption utility maximization of some utility function subject to the budget constraint. In particular we show that this important lack of structure is disturbing as well for the case of mean-variance utility functions which are the basis of the Capital Asset Pricing Model, one of the cornerstones of finance. The final goal of our book is to give reasonable restrictions on the agents' utility functions which lead to a well determined financial markets model.
Author | : Jörg Laitenberger |
Publisher | : |
Total Pages | : 12 |
Release | : 1996 |
Genre | : |
ISBN | : |
Author | : Pablo Koch-Medina |
Publisher | : |
Total Pages | : 32 |
Release | : 2015 |
Genre | : |
ISBN | : |
This paper establishes existence and uniqueness of equilibria in a capital asset pricing model (CAPM) with non-tradeable endowments. The result is obtained by generalising the classical two-fund separation for asset-demand functions to reduce a multi-variate fixed-point problem to a uni-variate one. The paper highlights the importance of two limiting properties of agents' risk aversion. First, individual asset demand may become undefined if the limiting slopes of the investor's indifference curves are finite. Second, agents' aggregate demand for risk may be bounded from above so that no equilibrium exists if market risk is too large. The paper provides an explicit pricing formula and a generalised security market line and studies the effect of non-traded endowments on asset prices and asset allocations.
Author | : Andreas Loeffler |
Publisher | : |
Total Pages | : 12 |
Release | : 1997 |
Genre | : |
ISBN | : |
In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.
Author | : Gerard Debreu |
Publisher | : Springer Science & Business Media |
Total Pages | : 363 |
Release | : 2013-04-17 |
Genre | : Business & Economics |
ISBN | : 3662046237 |
Back in the good old days on the fourth floor of the Altbau of Bonn's Ju ridicum, Werner Hildenbrand put an end to a debate about a festschrift in honor of an economist on the occasion of his turning 60 with a laconic: "Much too early." Remembering his position five years ago, we did not dare to think about one for him. But now he has turned 65. If consulted, he would most likely still answer: "Much too early." However, he has to take his official re tirement, and we believe that this is the right moment for such an endeavor. No doubt Werner Hildenbrand will not really retire. As professor emeritus, free from the constraints of a rigid teaching schedule and the burden of com mittee meetings, he will be able to indulge his passions. We expect him to pursue, with undiminished enthusiasm, his research, travel, golfing, the arts, and culinary pleasures - escaping real retirement.
Author | : Alessandro Citanna |
Publisher | : Springer Science & Business Media |
Total Pages | : 278 |
Release | : 2006-01-11 |
Genre | : Business & Economics |
ISBN | : 3540271929 |
In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.