Coupled projects, core imputations, and the CAPM

Sjur Didrik Flåm

Journal of Mathematical Economics, 2012, vol. 48, issue 3, 170-176

Abstract: Projects, private or public, that share input factors or output requirements had better be construed as members of a portfolio. Present risk, the capital asset pricing model may facilitate valuation of each member. Chief results of that model are derived and generalized here as core solutions to a transferable-utility production game. Shadow prices define stochastic discount factors that determine values of individual projects. Variance aversion largely affects such prices whence optimal allocations.

Keywords: Transferable utility; Core solution; Shadow price; Variance aversion; Capital asset pricing; Two-fund separation (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:48:y:2012:i:3:p:170-176

DOI: 10.1016/j.jmateco.2012.03.002

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