On Uniqueness of Equilibria in the CAPM
On Uniqueness of Equilibria in the CAPM
In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents' endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.
- Norwegian School of Economics Norway
- University of Zurich Switzerland
- University of Hannover Germany
- Freie Universität Berlin Germany
- Swiss Finance Institute Switzerland
info:eu-repo/classification/ddc/330, 10007 Department of Economics, IEW Institute for Empirical Research in Economics (former), Economics, 330 Economics
info:eu-repo/classification/ddc/330, 10007 Department of Economics, IEW Institute for Empirical Research in Economics (former), Economics, 330 Economics
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