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Asset market equilibrium with short-selling

Author: Nielsen, Lars Tyge INSEAD Area: FinanceIn: Review of Economic Studies, Vol. 56, 1989 Language: EnglishDescription: p. 467-474.Type of document: INSEAD ArticleNote: Please ask the Library for this articleAbstract: This paper presents simple conditions and a simple proof of the existence of equilibrium in asset markets where short-selling is allowed and satiation is possible. Unlike standard non-satiation assumptions, the one used here is weak enough to be reasonable in the mean-variance Capital Asset Pricing Model and in asset market models where investors maximise expected utility and where total returns may be negative
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This paper presents simple conditions and a simple proof of the existence of equilibrium in asset markets where short-selling is allowed and satiation is possible. Unlike standard non-satiation assumptions, the one used here is weak enough to be reasonable in the mean-variance Capital Asset Pricing Model and in asset market models where investors maximise expected utility and where total returns may be negative

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