Capital market equilibrium without riskless assets: Heterogeneous expectations

D. Won; G. Hahn; N. C. Yannelis

doi:10.1007/s10436-007-0074-2

Capital market equilibrium without riskless assets: Heterogeneous expectations

D. Won, G. Hahn, N. C. Yannelis

Economics

Research output: Contribution to journal › Article › peer-review

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. © Springer-Verlag 2007.

Original language	English
Pages (from-to)	183-195
Number of pages	12
Journal	Annals of Finance
Volume	4
Issue number	2
DOIs	https://doi.org/10.1007/s10436-007-0074-2
Publication status	Published - Mar 2008

Keywords

Asset market equilibrium
CAPM
Heterogeneous expectations
Satiation

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10.1007/s10436-007-0074-2

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title = "Capital market equilibrium without riskless assets: Heterogeneous expectations",

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. {\textcopyright} Springer-Verlag 2007.",

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AU - Won, D.

AU - Hahn, G.

AU - Yannelis, N. C.

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N2 - 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.

AB - 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.

KW - Asset market equilibrium

KW - CAPM

KW - Heterogeneous expectations

KW - Satiation

U2 - 10.1007/s10436-007-0074-2

DO - 10.1007/s10436-007-0074-2

M3 - Article

SN - 1614-2446

VL - 4

SP - 183

EP - 195

JO - Annals of Finance

JF - Annals of Finance

IS - 2

ER -

Capital market equilibrium without riskless assets: Heterogeneous expectations

Abstract

Keywords

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