Two remarks on the uniqueness of equilibria in the CAPM |
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| Affiliation: | 1. Univ. Grenoble Alpes, LBFA and BEeSy, PROMETHEE Proteomic Platform, Grenoble, France;2. Inserm, U1055, PROMETHEE Proteomic Platform, Grenoble, France;3. CHU Grenoble Alpes, Institut de Biologie et de Pathologie, PROMETHEE Proteomic Platform, Grenoble, France;4. Univ. Grenoble Alpes, ISTerre, F-38000 Grenoble, France;5. Cancer target and experimental therapeutics, Institute for Advanced Biosciences, INSERM U1209, CNRS UMR5301, Univ. Grenoble Alpes, F-38000 Grenoble, France |
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| Abstract: | In the standard ‘capital asset pricing model’ (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. |
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