On Uniqueness of Equilibria in the CAPM - (This paper replaces "Existence and Uniqueness of Equilibria in the CAPM")

Thorsten Hens, Joerg Laitenberger and Andreas Loeffler

No 39, IEW - Working Papers from Institute for Empirical Research in Economics - University of Zurich

Abstract: In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents' endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.

Keywords: CAPM; uniqueness; risk aversion (search for similar items in EconPapers)
JEL-codes: C62 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
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