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Stochastic dominance, Pareto optimality and equilibrium asset pricing

By Chongmin Kim

Abstract

In this paper, we give a unified approach to equilibrium asset pricing theories. We define a factor subspace and develop a general equilibrium model with an infinite dimensional contingent claim space which will be applied to asset pricing models. We show that there exists a minimal factor subspace F in the sense that no proper subspace of F can serve a factor subspace. We discuss how the minimal F can be determined endogenously given a market structure. The analysis in this paper can be applied to: Economy without aggergate risk; CAPM with elliptical distributions; Equilibrium version of APT; Economy with call options

Year: 1994
OAI identifier: oai:CiteSeerX.psu:10.1.1.197.4435
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