Coupled projects, core imputations, and the CAPM
AbstractProjects, private or public, that share input factors or output requirements had better be construed as members of a portfolio. Present risk, the capital asset pricing model may facilitate valuation of each member. Chief results of that model are derived and generalized here as core solutions to a transferable-utility production game. Shadow prices define stochastic discount factors that determine values of individual projects. Variance aversion largely affects such prices whence optimal allocations.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 48 (2012)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/jmateco
Transferable utility; Core solution; Shadow price; Variance aversion; Capital asset pricing; Two-fund separation;
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