Asset Market Equilibrium with Short-Selling

Lars Nielsen

The Review of Economic Studies, 1989, vol. 56, issue 3, 467-473

Abstract: This paper presents simple conditions and a simple proof of the existence of equilibrium in asset markets where short-selling is allowed and satiation is possible. Unlike standard non-satiation assumptions, the one used here is weak enough to be reasonable in the mean-variance Capital Asset Pricing Model and in asset market models where investors maximize expected utility and where total returns to individual assets may be negative.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:56:y:1989:i:3:p:467-473.

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