In an economic model of exchange of goods, the structure can be specified by utility functions. Under utility conditions identified here even more broadly than usual, except for concavity in place of quasi-concavity, every equilibrium will simultaneously be stable with respect to shifts in the...

A theory of general economic equilibrium with incomplete financial markets is developed with many new features, including currency-denominated prices which enable treatment of currency-based derivative instruments and collateralized contracts. Prices in such models with standard market structure...

The generalized Capital Asset Pricing Model based on mixed CVaR deviation is used for calibrating risk preferences of investors protecting investments in S&P500 by means of options. The corresponding new generalized beta is designed to capture tail performance of S&P500 returns. Calibration is...

It has been argued that investors who optimize their portfolios with attention paid only to mean and standard deviation will all end up choosing some multiple of a certain master fund portfolio. Justification for the capital asset pricing model of classical portfolio theory, which relates...