Capital market equilibrium without riskless assets: heterogeneous expectations
نویسندگان
چکیده
The existence theorem of Allingham (Econometrica 59:1169–1174, 1991) for the capital asset pricing model (CAPM) is generalized to the case where agents have heterogeneous expectations on the return distribution and the mean-variance utility functions are quasiconcave. This result is built upon new conditions which are distinct from and weaker than the conditions imposed on the CAPM in the literature.
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