IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v23y1988i03p329-336_01.html
   My bibliography  Save this article

Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model

Author

Listed:
  • Nielsen, Lars Tyge

Abstract

General equilibrium in the classical two-period mean-variance capital asset pricing model is not unique. Corresponding to one single set of expectations, utility functions, and an initial wealth distribution, there may be several equilibria, and an asset may have different prices, expected rates of return, and betas in different equilibria. However, any equilibrium portfolio is sustained by a unique price system, and if investors have decreasing risk aversion, then any equilibrium allocation of the risky assets is sustained by a unique price system.

Suggested Citation

  • Nielsen, Lars Tyge, 1988. "Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 329-336, September.
  • Handle: RePEc:cup:jfinqa:v:23:y:1988:i:03:p:329-336_01
    as

    Download full text from publisher

    File URL: http://journals.cambridge.org/abstract_S0022109000013156
    File Function: link to article abstract page
    Download Restriction: no

    References listed on IDEAS

    as
    1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
    2. Livingston, Miles B & Jain, Suresh K, 1982. " Flattening of Bond Yield Curves for Long Maturities," Journal of Finance, American Finance Association, vol. 37(1), pages 157-167, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Matteo Del Vigna, 2014. "A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences," Decisions in Economics and Finance, Springer;Associazione per la Matematica, pages 341-348.
    2. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, European Finance Association, vol. 8(2), pages 135-169.
    3. Wenzelburger, Jan, 2008. "A Note on the Two-fund Separation Theorem," MPRA Paper 11014, University Library of Munich, Germany, revised 31 Sep 2008.
    4. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, M., 2007. "Equilibrium with investors using a diversity of deviation measures," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3251-3268, November.
    5. Dana, Rose-Anne, 1999. "Existence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asset," Journal of Mathematical Economics, Elsevier, vol. 32(2), pages 167-175, October.
    6. Bettzuge, Marc Oliver, 1998. "An extension of a theorem by Mitjushin and Polterovich to incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 285-300, October.
    7. repec:wsi:apjorx:v:34:y:2017:i:05:n:s0217595917500257 is not listed on IDEAS
    8. Thorsten Hens & Andres L=EEffler, 1995. "Market Demand Functions in the CAPM," Discussion Paper Serie A 468, University of Bonn, Germany.
    9. Jan Wenzelburger, 2010. "The two-fund separation theorem revisited," Annals of Finance, Springer, vol. 6(2), pages 221-239, March.
    10. Hens, Thorsten & Laitenberger, Jorg & Loffler, Andreas, 2002. "Two remarks on the uniqueness of equilibria in the CAPM," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 123-132, April.
    11. Thorsten Hens & Joerg Laitenberger & Andreas Loeffler, "undated". "On Uniqueness of Equilibria in the CAPM - (This paper replaces "Existence and Uniqueness of Equilibria in the CAPM")," IEW - Working Papers 039, Institute for Empirical Research in Economics - University of Zurich.
    12. Matteo Del Vigna, 2011. "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics 2011-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    13. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:23:y:1988:i:03:p:329-336_01. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_JFQ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.