Some Results in the CAPM with Nontraded Endowments

Gyutaeg Oh
Gyutaeg Oh
Department of Finance, College of Business Administration, University of Iowa, Iowa City, Iowa 52242
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Department of Finance, College of Business Administration, University of Iowa, Iowa City, Iowa 52242

Published Online:1 Feb 1996https://doi.org/10.1287/mnsc.42.2.286

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.

Volume 42, Issue 2

February 1996

Pages 157-306

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Published Online:February 01, 1996

Cite as

Gyutaeg Oh, (1996) Some Results in the CAPM with Nontraded Endowments. Management Science 42(2):286-293.

https://doi.org/10.1287/mnsc.42.2.286

Keywords

capital asset pricing model
incomplete markets
security market line
mean-variance analysis

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Some Results in the CAPM with Nontraded Endowments

Abstract

Volume 42, Issue 2

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