Review of Economic Studies Vol. 56 No. 3 1989
Asset Market Equilibrium with Short-Selling
Abstract
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 nonsatiation 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 maximize expected utility and where total returns to individual assets may be negative.
- DOI
- 10.2307/2297559
- Volume
- 56
- Issue
- 3
- Pages
- 467
- Sources
- bibtex:phds-export.bib crossref openalex