کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7367462 1479245 2018 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Equilibria in the CAPM with non-tradeable endowments
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Equilibria in the CAPM with non-tradeable endowments
چکیده انگلیسی
This paper establishes existence and uniqueness of equilibria in the capital asset pricing model (CAPM) in a setting with incomplete markets in which part of the endowments are non-tradeable. It is shown that in equilibrium, agents are willing to assume aggregate hedgeable risk of the market but will no longer hold fractions of the market portfolio. The paper studies the effects of non-traded endowments on equilibrium asset prices and allocations and establishes a linear pricing formula, a security market line, and conditions for the positivity of asset prices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 75, March 2018, Pages 93-107
نویسندگان
, ,