Abstract
In this paper, we derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in a non-homogeneous capital market consisting of investors whose measure of risk may not be the same. The eigenvalue structure of a matrix which is constructed from the investor’s initial assets and the requested rate of return play an important role in this procedure. Also we present some economic implications of these conditions. In particular, we show that if investors pursue too much return then the market becomes unstable.
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Konno, H., Suzuki, Ki. Equilibria in the capital market with non-homogeneous investors. Japan J. Indust. Appl. Math. 13, 369–383 (1996). https://doi.org/10.1007/BF03167254
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DOI: https://doi.org/10.1007/BF03167254