General Equilibrium and Capital Assets Pricing

• Authors: Grzegorz Bazarnik , Andrzej Malawski

Title variants

PL

Równowaga ogólna i wycena aktywów kapitałowych

• Languages of publication: EN

Abstracts

EN

This paper shows that traditional mean-variance portfolio choice, which is a fundamental CAPM assumption, oversimplifies the theory and neglects the relationship between real and security markets. This could also be the primary reason for why the model is so hard to prove using empirical tests. However, the von Neumann-Morgenstern quadratic utility function makes it possible to derive the CAPM from equilibrium in real markets. This is explored in the paper using a two-period finance economy model.

Keywords

EN

CAPM; finance economy; equilibrium in real and security markets; von Neumann-Morgenstern utility

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Argumenta Oeconomica Cracoviensia
• Year: 2011
• Issue: 7
• Pages: 7-23

Contributors

author

Grzegorz Bazarnik

author

Andrzej Malawski

• Uniwersytet Ekonomiczny w Krakowie, Katedra Matematyki, ul. Rakowicka 27, 31-510 Kraków, Poland

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