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

页码：183 / 195

页数：12

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