On Uniqueness of Equilibria in the CAPM - (This paper replaces "Existence and Uniqueness of Equilibria in the CAPM")
In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents' endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.
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- 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.
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- Dana, Rose-Anne, 1999. "Existence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asset," Economics Papers from University Paris Dauphine 123456789/6112, Paris Dauphine University.
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- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
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