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dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
dc.date.accessioned2011-04-29T13:40:28Z
dc.date.available2011-04-29T13:40:28Z
dc.date.issued1999
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6112
dc.language.isoenen
dc.subjectEquilibriumen
dc.subjectRisk aversionen
dc.subjectEconomyen
dc.subject.ddc332en
dc.subject.classificationjelD51en
dc.titleExistence, uniqueness and determinacy of equilibrium in C.A.P.M. with a riskless asseten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this note, we study the problem of existence, uniqueness and determinacy of equilibrium in the two period mean-variance C.A.P.M. with a riskless asset and possibly an infinite number of assets. The existence, uniqueness and determinacy problem is brought down to a two-dimensional problem. We construct a reduced two-dimensional economy which has the same equilibria as the original economy. In particular, we provide a very elementary proof of existence of equilibrium. We then show that when utilities are additively separable in mean and variance, sufficient conditions for uniqueness of equilibrium may be given in terms of ‘risk aversion'. Lastly, we show that generically equilibria are determinate.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol32en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate1999
dc.relation.isversionofjnlpages167-175en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0304-4068(98)00050-0en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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