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Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing

Listed author(s):
  • Chongmin Kim

    (University of Hong Kong)

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    In this paper, we give a unified approach to equilibrium asset pricing theories. We define a factor subspace and develop a general equilibrium model with an infinite dimensional contingent claim space which will be applied to asset pricing models. We show that there exists a minimal factor subspace F in the sense that no proper subspace of F can serve a factor subspace. We discuss how the minimal F can be determined endogenously given a market structure. The analysis in this paper can be applied to: Economy without aggergate risk; CAPM with elliptical distributions; Equilibrium version of APT; Economy with call options.

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    Paper provided by EconWPA in its series Finance with number 9410001.

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    Length: 31 pages
    Date of creation: 13 Oct 1994
    Date of revision: 23 Oct 1994
    Handle: RePEc:wpa:wuwpfi:9410001
    Note: 31 pages, plain TeX
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