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Some Results in the CAPM with Nontraded Endowments

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  • Gyutaeg Oh

    (Department of Finance, College of Business Administration, University of Iowa, Iowa City, Iowa 52242)

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    Abstract

    The paper establishes a positive security market line in the CAPM with nontraded endowments. The effects of a market structure change on the security market line are analyzed when the equilibrium allocation is affected by the change.

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    File URL: http://dx.doi.org/10.1287/mnsc.42.2.286
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    Bibliographic Info

    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 42 (1996)
    Issue (Month): 2 (February)
    Pages: 286-293

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    Handle: RePEc:inm:ormnsc:v:42:y:1996:i:2:p:286-293

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    Related research

    Keywords: capital asset pricing model; incomplete markets; security market line; mean-variance analysis;

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    Cited by:
    1. Athanasoulis, S. & Shiller, R.J., 1995. "World Income Components: Measuring and Exploting International Risk Sharing Opportunities," Papers 725, Yale - Economic Growth Center.
    2. P. Jean-Jacques Herings & Felix Kubler, 2000. "The Robustness of the CAPM-A Computational Approach," Econometric Society World Congress 2000 Contributed Papers 0400, Econometric Society.
    3. Athanasoulis, Stefano G & Shiller, Robert J, 2000. "The Significance of the Market Portfolio," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 301-29.
    4. repec:onb:oenbwp:y::i:172:b:1 is not listed on IDEAS
    5. Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003. "Financial Innovation, Market Participation and Asset Prices," NBER Working Papers 9840, National Bureau of Economic Research, Inc.
    6. Willems, Bert & Morbee, Joris, 2010. "Market completeness: How options affect hedging and investments in the electricity sector," Energy Economics, Elsevier, vol. 32(4), pages 786-795, July.
    7. Eichberger, Jürgen & Rheinberger, Klaus & Summer, Martin, 2012. "Credit risk in general equilibrium," Working Paper Series 1445, European Central Bank.
    8. Alessandro, CITANNA & SCHMEDDERS, Karl, 2002. "Controlling price volatility through financial innovation," Les Cahiers de Recherche 749, HEC Paris.
    9. Herings,O. Jean-Jacques & Kubler,Felix, 2000. "The Robustness of CAPM-A Computational Approach," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    10. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.

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