IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v42y1996i2p286-293.html
   My bibliography  Save this article

Some Results in the CAPM with Nontraded Endowments

Author

Listed:
  • Gyutaeg Oh

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

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.

Suggested Citation

  • Gyutaeg Oh, 1996. "Some Results in the CAPM with Nontraded Endowments," Management Science, INFORMS, vol. 42(2), pages 286-293, February.
  • Handle: RePEc:inm:ormnsc:v:42:y:1996:i:2:p:286-293
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.42.2.286
    Download Restriction: no

    Citations

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


    Cited by:

    1. 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 301-329.
    2. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
    3. Athanasoulis, S. & Shiller, R.J., 1995. "World Income Components: Measuring and Exploting International Risk Sharing Opportunities," Papers 725, Yale - Economic Growth Center.
    4. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 431-459, September.
    5. Alessandro, CITANNA & SCHMEDDERS, Karl, 2002. "Controlling price volatility through financial innovation," Les Cahiers de Recherche 749, HEC Paris.
    6. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit risk in general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 407-435, October.
    7. 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).
    8. repec:onb:oenbwp:y::i:172:b:1 is not listed on IDEAS
    9. Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
    10. repec:eee:mateco:v:75:y:2018:i:c:p:93-107 is not listed on IDEAS
    11. repec:eee:finlet:v:21:y:2017:i:c:p:241-248 is not listed on IDEAS
    12. repec:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-017-9606-3 is not listed on IDEAS
    13. Uluc, Arzu, 2015. "Stabilising house prices: the role of housing futures trading," Bank of England working papers 559, Bank of England.
    14. 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.

    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:inm:ormnsc:v:42:y:1996:i:2:p:286-293. 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: (Mirko Janc). General contact details of provider: http://edirc.repec.org/data/inforea.html .

    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.