Capital market equilibrium without riskless assets: Heterogeneous expectations

被引：10
|
作者：
Won D. [1 ]
Hahn G. [2 ]
Yannelis N.C. [3 ]
机构：
[1] College of Business Administration, Ajou University, Woncheon-dong, Yeongtong-Gu
[2] Division of Humanities and Social Sciences, POSTECH, Pohang
[3] Department of Economics, University of Illinois at Urbana Champaign, Champaign, IL 61820
来源：
Annals of Finance | 2008年 / 4卷 / 2期
基金：
新加坡国家研究基金会;
关键词：
Asset market equilibrium; CAPM; Heterogeneous expectations; Satiation;
D O I：
10.1007/s10436-007-0074-2
中图分类号：
学科分类号：
摘要：
The existence theorem of Allingham (Econometrica 59:1169-1174, 1991) for the capital asset pricing model (CAPM) is generalized to the case where agents have heterogeneous expectations on the return distribution and the mean-variance utility functions are quasiconcave. This result is built upon new conditions which are distinct from and weaker than the conditions imposed on the CAPM in the literature. © Springer-Verlag 2007.
引用
收藏
页码：183 / 195
页数：12
相关论文
共 50 条
12345