| 允许卖空的资本市场中存在非负均衡价格向量的充要条件 |
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| 引用本文： | 陈志平,赵彩娥,王杨.允许卖空的资本市场中存在非负均衡价格向量的充要条件[J].高校应用数学学报(英文版),2002,17(3):344-354. |
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| 作者姓名： | 陈志平 赵彩娥 王杨 |
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| 作者单位： | Dept.ofScientificComputingandAppliedSoftware,FacultyofScience,Xi＇anJiaotongUniv.,Xi＇an710049,China |
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| 基金项目： | the Natural Science Foundation of Shaanxi Province(2 0 0 1 SL0 9) |
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| 摘 要： | For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vector that clears the mean-variance capital market with short sale allowed is derived. Moreover, the given explicit formula for the equilibrium price shows clearly the relationship between prices of assets and statistical properties of the rate of return on assets, the desired rates of return of individual investors as well as other economic quantities.The economic implication of the derived condition is briefly discussed. These results improve the available results about the equilibrium analysis of the mean-variance market.
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| 关 键 词： | 资本市场 非负均衡价格向量 充分必要条件 允许卖空 |
| 收稿时间： | 19 November 2001 |
Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling |
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| Chen?Zhiping,Zhao?Caie,Wang?Yang.Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling[J].Applied Mathematics A Journal of Chinese Universities,2002,17(3):344-354. |
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| Authors: | Chen Zhiping Zhao Caie Wang Yang |
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| Institution: | (1) Dept. of Scientific Computing and Applied Software, Faculty of Science, Xi’an Jiaotong Univ., 710049 Xi’an, China |
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| Abstract: | For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vector that clears the mean-variance capital market with short sale allowed is derived.Moreover,the given explicit formula for the equilibrium price shows clearly the relationship between prices of assets and statistical properties of the rate of return on assets,the desired rates of return of individual investors as well as other economic quantities.The economic implication of the derived condition is briefly discussed.These results improve the available results about the equilibrium analysis of the mean-variance market. |
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| Keywords: | equilibrium prices the mean-variance market the optimal portfolio economic implication |
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