Pareto Optima in Incomplete Financial Markets

By Lars Tyge Nielsen

Journal of Mathematical Economics 23 (1994), 87-100

Abstract

This paper demonstrates the structure of the set of Pareto optima in exchange economy models where the choice sets are unbounded and satiation is possible. The main examples are found among asset market models with short-selling and incomplete markets, such as the mean-variance Capital Asset Pricing Model (CAPM) without a riskless asset.

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