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Asset Market Equilibrium with Short-Selling

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  • Lars Tyge Nielsen

Abstract

This paper presents simple conditions and a simple proof of the existence of equilibrium in asset markets where short-selling is allowed and satiation is possible. Unlike standard non-satiation assumptions, the one used here is weak enough to be reasonable in the mean-variance Capital Asset Pricing Model and in asset market models where investors maximize expected utility and where total returns to individual assets may be negative.

Suggested Citation

  • Lars Tyge Nielsen, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 467-473.
  • Handle: RePEc:oup:restud:v:56:y:1989:i:3:p:467-473.
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    File URL: http://hdl.handle.net/10.2307/2297559
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