Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing

@inproceedings{Kim1994StochasticDP,
  title={Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing},
  author={Chongmin Kim},
  year={1994}
}
This paper introduces the concept of a factor subspace in competitive equilibrium asset pricing. A factor subspace contains the market portfolio and is such that every marketed contingent claim is second-order stochastically dominated by a claim from the factor subspace. Conditions are given for the existence of equilibrium, and it is shown how APT and CAPM can be interpreted in the framework of the paper. If sufficiently many call options on the market portfolio are traded, then the space… CONTINUE READING

References

Publications referenced by this paper.
SHOWING 1-10 OF 13 REFERENCES

A Uni ed Beta Pricing Theory

G Connor
  • Journal of Economic Theory,
  • 1984
VIEW 8 EXCERPTS
HIGHLY INFLUENTIAL

Arbitrage and Existsence of Equilibrium in In nite Asset Market", mimeo,University of Minnesota

D Brown, J Werner
  • 1991
VIEW 1 EXCERPT

Asset Market Equilibrium in In nite Dimensional Complete Market",Journal

Cheng, H.H.C
  • Mathematical Economics,
  • 1991
VIEW 2 EXCERPTS