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The two-fund separation theorem revisited

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  • Jan Wenzelburger

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Abstract

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Suggested Citation

  • Jan Wenzelburger, 2010. "The two-fund separation theorem revisited," Annals of Finance, Springer, vol. 6(2), pages 221-239, March.
  • Handle: RePEc:kap:annfin:v:6:y:2010:i:2:p:221-239
    DOI: 10.1007/s10436-009-0144-8
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    References listed on IDEAS

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    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
    2. 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.
    3. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner (ed.), 2009. "Handbook of Financial Markets: Dynamics and Evolution," Elsevier Monographs, Elsevier, edition 1, number 9780123742582.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    7. Volker Böhm & Nicole Deutscher & Jan Wenzelburger, 2000. "Endogenous Random Asset Prices in Overlapping Generations Economies," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 23-38.
    8. Levy, Moshe, 2007. "Conditions for a CAPM equilibrium with positive prices," Journal of Economic Theory, Elsevier, vol. 137(1), pages 404-415, November.
    9. Nielsen, Lars Tyge, 1987. " Portfolio Selection in the Mean-Variance Model: A Note," Journal of Finance, American Finance Association, vol. 42(5), pages 1371-1376, December.
    10. Lars Tyge Nielsen & Fatma Lajeri, 2000. "Parametric characterizations of risk aversion and prudence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 469-476.
    11. 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.
    12. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
    13. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
    14. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
    15. Dana, Rose Anne, 1993. "Existence and Uniqueness of Equilibria When Preferences Are Additively Separable," Econometrica, Econometric Society, vol. 61(4), pages 953-957, July.
    16. 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.
    17. repec:dau:papers:123456789/6112 is not listed on IDEAS
    18. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
    19. Wenzelburger, Jan, 2004. "Learning to predict rationally when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2075-2104, September.
    20. Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
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    Citations

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    Cited by:

    1. repec:eee:mateco:v:75:y:2018:i:c:p:93-107 is not listed on IDEAS
    2. Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.

    More about this item

    Keywords

    Portfolio choice; CAPM; Risk aversion; Equilibrium; Market participation; C62; D11; G11; G12;

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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