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MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY† · Study

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ArticleMARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†

Alan Kraus1975

Article1975

MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†

Alan Kraus · Robert H. Litzenberger

75 citations·0/0 files stored·The Journal of Finance

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Economic theories and models Financial Markets and Investment Strategies Stochastic processes and financial applications

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE 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.]1973An Intertemporal Capital Asset Pricing Model 1952Portfolio Selection 1954Exposition of a New Theory on the Measurement of Risk 1973The Role of Securities in the Optimal Allocation of Risk-bearing 1968The Theory of Syndicates

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Year1975

Typearticle

Published1975-12-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations75

Files0 public / 0

ShelfEconomic theories and models

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doi10.1111/j.1540-6261.1975.tb01050.x

openalex_workW2107072846

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