Existence and Uniqueness in the CAPM with a Riskless Asset
Zurich IEER Working Paper No. 39
17 Pages Posted: 16 Oct 1996
Date Written: Undated
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: Suggested Citation