Some Results in the CAPM with Nontraded Endowments

Gyutaeg Oh
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Gyutaeg Oh: Department of Finance, College of Business Administration, University of Iowa, Iowa City, Iowa 52242

Management Science, 1996, vol. 42, issue 2, 286-293

Abstract: The paper establishes a positive security market line in the CAPM with nontraded endowments. The effects of a market structure change on the security market line are analyzed when the equilibrium allocation is affected by the change.

Keywords: capital asset pricing model; incomplete markets; security market line; mean-variance analysis (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:42:y:1996:i:2:p:286-293

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