In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.

In the standard 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 inparticular satisfied with constant...

Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory....

Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds....

This paper deals with the the evolution of portfolio rules in markets withstationary returns and endogenous prices.

In the standard 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 particularsatisfied with constant...

We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the...

We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on...

This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition offix-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...

We consider a simple CAPM with heterogenous expectations on assets mean returns while keeping the assumption of homogenous expectations on the covariance of returns. Our first result derives the security market line as an aggregation result without using the two-fund-separation property. In...