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ファイル | 記述 | サイズ | フォーマット | |
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DP1005.pdf | 526.87 kB | Adobe PDF | 見る/開く |
タイトル: | Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets |
著者: | Hara, Chiaki |
キーワード: | Capital Asset Pricing Model general equilibrium theory incomplete asset markets financial innovation expected utility |
発行日: | 11-Oct-2018 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 1005 |
開始ページ: | 0 |
終了ページ: | 33 |
抄録: | In the Capital Asset Pricing Model, we consider how introducing new assets will affect the prices of the existing ones. We prove that introducing new assets into financial markets increases the relative price of the market portfolio with respect to the risk-free bond if the elasticity of the marginal rates of substitution of the mean for standard deviation with respect to the latter is greater than one for every consumer; the relative price of the market portfolio decreases if the elasticity is less than one; and the relative price is left unchanged if the elasticity is equal to one. |
記述: | First Version: December 1998 |
URI: | http://hdl.handle.net/2433/236156 |
出現コレクション: | KIER Discussion Paper (英文版) |
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