منابع مشابه
Capital Mobility and Asset Pricing
We present a model for the equilibrium movement of capital between markets. Markets with symmetrically distributed risks are distinguished only by the levels of capital invested in each. That market with the greater amount of capital earns lower conditional mean returns. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investo...
متن کاملSupplement to “ Capital Mobility and Asset Pricing ”
We illustrate the model with an example motivated by catastrophe insurance contracts. In a particular market, at each of the event times of a Poisson process J with a constant intensity η, a catastrophe occurs that causes losses throughout a population of consumers who are potential buyers of protection. Each of a continuum of consumers in the given insurance market has a property that experien...
متن کاملThe Consumption - Based Capital Asset Pricing Model
Arrow-Debreu Existence Result Let K be a normed vector lattice with positive cone K+ (see Schaefer (1974)). We consider an Arrow-Debreu (pure exchange) economy 9'= (?, e') in K, with m agents described by preference relations > i on K+ and initial endowments e' E K+. Throughout, we make the usual assumptions on preferences: each >i is reflexive, transitive, complete, convex, continuous, and str...
متن کاملAn Intertemporal Capital Asset Pricing Model
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متن کاملA Two State Capital Asset Pricing Model
A famous model in nancial theory is the Capital Asset Pricing Model (CAPM). In this paper we propose a two state CAPM in which we assume that excess returns for the market and for a particular security are bivariate normally distributed. The parameters of the distribution are determined by the state of an unobserved stationary Markov chain. Two states represent two business regimes that are cha...
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ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2011
ISSN: 1351-847X,1466-4364
DOI: 10.1080/1351847x.2010.495476