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Existence and Uniqueness in the CAPM with a Riskless Asset

12 Pages Posted: 16 Oct 1996  

Andreas Loeffler

Freie Universität Berlin

Thorsten Hens

University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute (Zurich Center)

Date Written: Undated

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.

JEL Classification: G10

Suggested Citation

Loeffler, Andreas and Hens, Thorsten, Existence and Uniqueness in the CAPM with a Riskless Asset (Undated). Available at SSRN: https://ssrn.com/abstract=1051 or http://dx.doi.org/10.2139/ssrn.1051

Andreas Loeffler

Freie Universität Berlin ( email )

Boltzmannstr. 20
Berlin, 14195
Germany

HOME PAGE: http://www.andreasloeffler.de

Thorsten Hens (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 32
Zurich, 8032
Switzerland
+41-44 634 37 06 (Phone)

Norwegian School of Economics and Business Administration (NHH)

Helleveien 30
Bergen, 5045
Norway

Swiss Finance Institute (Zurich Center)

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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