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

Abstract: 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)
Date: 2000
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Persistent link: http://EconPapers.repec.org/RePEc:fth:bereco:0700

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