Equilibria in the CAPM with non-tradeable endowments

被引：1

作者：

Koch-Medina, Pablo ^{[1
]}

Wenzelburger, Jan ^{[2
,3
]}

机构：

[1] Univ Zurich, Ctr Finance & Insurance, Dept Banking & Finance, CH-8032 Zurich, Switzerland

[2] TU Kaiserslautern, Fachbereich Wirtschaftswissensch, Postfach 3049, D-67653 Kaiserslautern, Germany

[3] Univ Liverpool, Sch Management, Liverpool L69 7ZH, Merseyside, England

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2018年 / 75卷

关键词：

Portfolio choice; CAPM; Non-tradeable endowments; Risk aversion; Equilibrium; Incomplete markets; ASSET PRICING MODEL; PORTFOLIO SELECTION; POSITIVE PRICES; RISKLESS ASSET; UNIQUENESS; EXISTENCE;

D O I：

10.1016/j.jmateco.2017.12.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：93 / 107

页数：15

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