Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium
73 Pages Posted: 28 Apr 2020 Last revised: 6 Jun 2021
Date Written: February 17, 2020
Given the wealth and preference of each investor, we obtain the analytical solutions of the asset price for mean-variance market equilibrium (CAPM equilibrium, see Proposition 4).
Keywords: CAPM, Mean-Variance Rule, Beta, Arbitrage Opportunity, Risk Premium
JEL Classification: G12, G11, D52
Suggested Citation: Suggested Citation
Abad, Pharos, Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium (February 17, 2020). Available at SSRN: https://ssrn.com/abstract=3542055 or http://dx.doi.org/10.2139/ssrn.3542055
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