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5. The Price Equilibrium Existence Problem in Topological Vector Lattices
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5. The Price Equilibrium Existence Problem in Topological Vector Lattices (2016)5. The Price Equilibrium Existence Proble…Risk Preferences and Their Robust Representation (2012)Risk Preferences and Their Ro…Aggregation of Heterogeneous Time Preferences (2005)Aggregation of Heterogeneous …Perspectives of Risk Sharing (2002)Perspectives of Risk SharingThe valuation problem in arbitrage price theory (1993)The valuation problem in arbi…Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization (1993)Equilibrium in a Reinsurance …Edgeworth's conjecture in economies with a continuum of agents and commodities (1991)Edgeworth's conjecture in eco…Chapter 34 Equilibrium theory in infinite dimensional spaces (1991)Chapter 34 Equilibrium theory…A new approach to the existence of equilibria in vector lattices (1991)A new approach to the existen…Vertical Integration in Economic Theory (1990)Vertical Integration in Econo…Edgeworth equilibria, fuzzy core, and equilibria of a production economy without ordered preferences (1990)Edgeworth equilibria, fuzzy c…The Consumption-Based Capital Asset Pricing Model (1989)The Consumption-Based Capital…Equilibrium without uniform conditions (1989)Equilibrium without uniform c…Edgeworth equilibria in production economies (1987)Edgeworth equilibria in produ…Competitive Equilibria in Production Economies with an Infinite-Dimensional Commodity Space (1987)Competitive Equilibria in Pro…Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis (1986)Stochastic Equilibria: Existe…Equilibria in Banach lattices without ordered preferences (1986)Equilibria in Banach lattices…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)Equilibrium asset prices and exchange rates (1995)Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models (2000)Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)On the Consistency of the Black-Scholes Model with a General Equilibrium Framework (1987)The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors (1995)Existence of equilibria in economies with infinitely many commodities (1972)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)A Limit Theorem on the Core of an Economy (1963)Convex structures and economic theory (1968)Mathematical methods of game and economic theory (1979)A Theory of Value with Non-linear Prices (2001)On the Existence of General Equilibrium for a Competitive Market (1959)WELFARE ECONOMICS AND EXISTENCE OF AN EQUILIBRIUM FOR A COMPETITIVE ECONOMY (1960)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of Rational Option Pricing (1973)On the FTAP of Kreps-Delbaen-Schachermayer (1997)The fundamental theorem of asset pricing with cone constraints (1999)Measuring risk with multiple eligible assets (2015)A Mathematical Theory of Saving (1928)Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)Asset Prices with Heterogeneity in Preferences and Beliefs (2010)Behavioral Economics and the Conduct of Benefit-Cost Analysis: Towards Principles and Standards (2011)Financial Markets Equilibrium with Heterogeneous Agents (2011)General competitive analysis (1971)Existence and Optimality of Competitive Equilibria (1989)Risk, Uncertainty and Profit (1921)Prospect theory: An analysis of decision under risk (1988)Continuity properties of law-invariant (quasi-)convex risk functions on L ∞ (2010)MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2014)Multivariate Shortfall Risk Allocation and Systemic Risk (2018)
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  • 2005Aggregation of Heterogeneous Time Preferences199 cited
  • 1989The Consumption-Based Capital Asset Pricing Model186 cited
  • 1986Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis127 cited
  • 2012Risk Preferences and Their Robust Representation126 cited
  • 1986Equilibria in Banach lattices without ordered preferences111 cited
  • 2002Perspectives of Risk Sharing101 cited
  • 1993The valuation problem in arbitrage price theory94 cited
  • 1990Edgeworth equilibria, fuzzy core, and equilibria of a production economy without ordered preferences92 cited
  • 1991A new approach to the existence of equilibria in vector lattices86 cited
  • 1987Competitive Equilibria in Production Economies with an Infinite-Dimensional Commodity Space80 cited
  • 1991Chapter 34 Equilibrium theory in infinite dimensional spaces79 cited
  • 1993Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization78 cited
  • 1987Edgeworth equilibria in production economies73 cited
  • 1989Equilibrium without uniform conditions71 cited
  • 1991

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Edgeworth's conjecture in economies with a continuum of agents and commodities
66 cited
  • 1990Vertical Integration in Economic Theory61 cited