Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing

Chongmin Kim
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Chongmin Kim: University of Hong Kong

Finance from University Library of Munich, Germany

Abstract: In this paper, we give a unified approach to equilibrium asset pricing theories. We define a factor subspace and develop a general equilibrium model with an infinite dimensional contingent claim space which will be applied to asset pricing models. We show that there exists a minimal factor subspace F in the sense that no proper subspace of F can serve a factor subspace. We discuss how the minimal F can be determined endogenously given a market structure. The analysis in this paper can be applied to: Economy without aggergate risk; CAPM with elliptical distributions; Equilibrium version of APT; Economy with call options.

JEL-codes: G (search for similar items in EconPapers)
Pages: 31 pages
Date: 1994-10-13, Revised 1994-10-23
Note: 31 pages, plain TeX
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:9410001

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