Journal article
Capital market equilibrium without riskless assets: heterogeneous expectations
Annals of finance, Vol.4(2), pp.183-195
03/01/2008
DOI: 10.1007/s10436-007-0074-2
Abstract
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.
Details
- Title: Subtitle
- Capital market equilibrium without riskless assets: heterogeneous expectations
- Creators
- D. Won - Ajou UniversityG. Hahn - Pohang University of Science and TechnologyN. Yannelis - University of Illinois Urbana-Champaign
- Resource Type
- Journal article
- Publication Details
- Annals of finance, Vol.4(2), pp.183-195
- Publisher
- Springer Nature
- DOI
- 10.1007/s10436-007-0074-2
- ISSN
- 1614-2446
- eISSN
- 1614-2454
- Number of pages
- 13
- Grant note
- KRF-2004042-B00029 / Korea Research Foundation
- Language
- English
- Date published
- 03/01/2008
- Academic Unit
- Economics
- Record Identifier
- 9984380419002771
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