Existence and Uniqueness in the CAPM with a Riskless Asset

Zurich IEER Working Paper No. 39

17 Pages Posted: 16 Oct 1996

See all articles by Thorsten Hens

Thorsten Hens

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

Jörg Laitenberger

University of Hannover - Economics and Business Administration Area

Andreas Loeffler

Freie Universität Berlin

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

Hens, Thorsten and Laitenberger, Jörg and Loeffler, Andreas, On Uniqueness of Equilibria in the CAPM (March 2000). Zurich IEER Working Paper No. 39, Available at SSRN: https://ssrn.com/abstract=229144 or http://dx.doi.org/10.2139/ssrn.229144

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

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Jörg Laitenberger

University of Hannover - Economics and Business Administration Area ( email )

Koenigsworther Platz 1
30167 Hannover
Germany
+49-511-7624668 (Phone)
+49-511-7624670 (Fax)

Andreas Loeffler

Freie Universität Berlin ( email )

Thielallee 73
Berlin, 14195
Germany

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

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