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https://www.krm.or.kr/krmts/link.html?dbGubun=SD&m201_id=10007242&local_id=10012130
Competitive Equilibrium with Nontransitive Preferences: Applications to Asset Pricing Theories
Reports NRF is supported by Research Projects( Competitive Equilibrium with Nontransitive Preferences: Applications to Asset Pricing Theories | 2004 Year 신청요강 다운로드 PDF다운로드 | 한광석(한국경제연구원) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
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  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number B00029
Year(selected) 2004 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2006년 05월 18일
Year type 결과보고
Year(final report) 2006년
Research Summary
  • Korean
  • Alllingham (1991)의 자본자산가격결정모형(CAPM)에서 균형존재 증명을 각 투자자가 상이한
    수익분포에 대한 기대를 가지고 있고 준오목한 평균-분산 효용함수를 가지고 있는 경우로
    확장하였다. 이질기대의 경우를 분석하기 위해서는 새로은 증명이 필요하다.
  • English
  • The existence proof in the capital asset pricing model
    (CAPM) of Allingham (1991) is generalized to the case where agents
    have heterogeneous expectations on the return distribution and the
    mean-variance utility functions are quasiconcave. A new argument is
    required to cover the case of heterogeneous expectations.
Research result report
  • Abstract
  • The existence proof in the capital asset pricing model
    (CAPM) of Allingham (1991) is generalized to the case where agents
    have heterogeneous expectations on the return distribution and the
    mean-variance utility functions are quasiconcave. A new argument is
    required to cover the case of heterogeneous expectations.
  • Research result and Utilization method
  • 2006년 5월 중 Annals of Finance에 제출할 예정임.
  • Index terms
  • Asset Market Equilibrium, Satiation, CAPM, Heterogeneous Expectations.
  • List of digital content of this reports
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