Existence and Uniqueness in the CAPM with a Riskless Asset
Preprint
- 1 January 1996
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.Keywords
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