Arbitrage and Diversification in a General Equilibrium Asset Economy
This paper presents a theory of equilibrium asset pricing that generalizes the recent work of G. Connor (1984). Th e model extends Connor's results to more general sets of asset return s and consumer preferences; introduces production; and provides a fra mework for analyzing exact and approximate equilibrium asset pricing. The other major contribution of the paper is the introduction of geo metric arguments that exploit the properties of induced preferences o ver assets. This method of analyzing asset pricing provides an intuit ively appealing way of analyzing equilibrium asset pricing theories. Copyright 1988 by The Econometric Society.
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Volume (Year): 56 (1988)
Issue (Month): 4 (July)
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