Some Results in the CAPM with Nontraded Endowments
Management Science · 1996 · Volume 42 · Issue 2
Abstract
The paper establishes a positive security market line in the CAPM with nontraded endowments. The effects of a market structure change on the security market line are analyzed when the equilibrium allocation is affected by the change.
Keywords
capital asset pricing model, incomplete markets, security market line, mean-variance analysis
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