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Reaching Equilibrium in the Capital Asset Pricing Model
Sjur Didrik Flåm Norway; Department of Economics, University of Bergen from Department of Economics, University of Bergen
We consider a two-period, one-good financial market, featuring variance-averse investors. Under fairly weak assumptions, like those imposed in the capital asset pricing model, we demonstrate how equilibrium may be approached and computed. As main argument we use the two-dimensionality of pricing and the Poincare-Bedixon theory on planar flows.
Keywords: FINANCIAL MARKET; MATHEMATICAL ANALYSIS (search for similar items in EconPapers)
JEL-codes: C61 G11 G12 G13 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:bereco:0700
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More papers in Norway; Department of Economics, University of Bergen from Department of Economics, University of Bergen
Address: Department of Economics, University of Bergen Fosswinckels Gate 6. N-5007 Bergen, Norway Contact information at EDIRC. Series data maintained by Thomas Krichel ().