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Arbitrage and the Existence of Competitive Equilibrium
3 references·9 citing·39 second hop
Arbitrage and the Existence of Competitive Equilibrium (1987)Arbitrage and the Existence of Competitiv…Core and Equilibria of a Large Economy. (1975)Core and Equilibria of a Larg…On the existence of equilibrium in a securities model (1974)On the existence of equilibri…Theory of Value (1959)Theory of ValueViability and Arbitrage Under Knightian Uncertainty (2021)Viability and Arbitrage Under…OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES (2010)OVERLAPPING SETS OF PRIORS AN…EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS (2008)EQUILIBRIUM PRICES FOR MONETA…Twelve Theses concerning the History of Postwar Neoclassical Price Theory (2006)Twelve Theses concerning the …Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation (2004)Assessing Systemic Risk Expos…Perspectives of Risk Sharing (2002)Perspectives of Risk SharingArbitrage, Rationality, and Equilibrium (1992)Arbitrage, Rationality, and E…Existence Theorems in the Capital Asset Pricing Model (1991)Existence Theorems in the Cap…Asset Market Equilibrium with Short-Selling (1989)Asset Market Equilibrium with…The Economics of Information (1961)Agreeing to Disagree (1976)The arbitrage theory of capital asset pricing (1976)Understanding Mattessich and Ijiri: A Study of Accounting Thought (2017)Equilibrium in economies with incomplete financial markets (1985)Capital Markets: Theory and Evidence (2003)Arbitrage and equilibrium in economies with infinitely many commodities (1981)A unified beta pricing theory (1984)Some Results in the CAPM with Nontraded Endowments (1996)A Dynamic Model for Hard-to-Borrow Stocks (2009)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION (2007)OPTIMAL RISK SHARING UNDER DISTORTED PROBABILITIES (2009)ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Microfoundations of Macroeconomics: A Critical Survey (1977)Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation (1982)Moral Hazard and Observability (1979)Optimal retention levels, given the joint survival of cedent and reinsurer (2004)Excess of loss reinsurance under joint survival optimality (2006)PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS (2016)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)The Pricing of Options and Corporate Liabilities (1973)An Evolutionary Theory of Economic Change. (1983)Joint Coherence in Games of Incomplete Information (1992)Investments in combined cycle natural gas-fired systems: A real options analysis (2013)Modeling sequential R&D investments: a binomial compound option approach (2014)Mathematical Methods of Game and Economic Theory (1979)Stochastic Finance (2004)Information aggregation in a noisy rational expectations economy (1981)A Liquidity-based Model of Security Design (1999)Assortative Matching and Search (2000)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Problems and Residual Claims (1983)Well-being : the foundations of hedonic psychology (1999)
this work references cited by second hop

References

  • 1959Theory of Value2,538 cited
  • 1975Core and Equilibria of a Large Economy.1,195 cited
  • 1974On the existence of equilibrium in a securities model168 cited

Cited by

  • 2002Perspectives of Risk Sharing101 cited
  • 1989Asset Market Equilibrium with Short-Selling85 cited
  • 1992Arbitrage, Rationality, and Equilibrium79 cited
  • 1991Existence Theorems in the Capital Asset Pricing Model62 cited
  • 2008EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS61 cited
  • 2006Twelve Theses concerning the History of Postwar Neoclassical Price Theory60 cited
  • 2010OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES37 cited
  • 2021Viability and Arbitrage Under Knightian Uncertainty29 cited
  • 2004Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation22 cited

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