IDEAS home Printed from https://ideas.repec.org/p/cor/louvrp/956.html
   My bibliography  Save this paper

Asset pricing and observability

Author

Listed:
  • DUTTA, Jayasri
  • POLEMARCHAKIS, Herakles

Abstract

We consider observable restrictions on asset prices in an exchange economy with general preferences and endowments and an asset structure that may be incomplete. - Asset prices satisfy the martingale property with respect to a class of probability measures; however, generically, not with respect to the empirical measure. - Attainable assets are priced at their expected payoffs with a correction for covariance with a benchmark return. This benchmark is a complete description of attitudes towards risk in the asset market. There is a unique portfolio of marketed assets that yields the benchmark return. - For attainable assets, the Capital Asset Pricing Model holds with respect to the return of a portfolio of marketed assets that is essentially unique. - Under restrictive assumptions on the utility functions and the initial endowments of individuals and on the asset structure, the asset market is effectively complete, 2-fund separation obtains and all assets, not necessarily attainable, can be priced at their expected payoff with a correction for covariance with the benchmark return; also, the Capital Asset Pricing Model holds with respect to the return of the aggregate consumption portfolio. We also examine implications for the approximate pricing of nonattainable assets when the asset market is not effectively complete.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
<
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • DUTTA, Jayasri & POLEMARCHAKIS, Herakles, 1991. "Asset pricing and observability," LIDAM Reprints CORE 956, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvrp:956
    Note: In : William A. Barnett et al. (eds.), Equilibrium Theory and Applications: Proceedings of the Sixth International Symposium in Economic Theory and Econometrics. Cambridge, Cambridge University Press, 9-30, 1991
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    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:cor:louvrp:956. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alain GILLIS (email available below). General contact details of provider: https://edirc.repec.org/data/coreebe.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.