SFB 303 Discussion Paper No. A - 537


Author: Laitenberger, Jörg
Title: Investor Heterogeneity and the Uniqueness of the Equilibrium in the CAPM
Abstract: In a static CAPM with a riskless asset, the uniqueness of the equilibrium is proved, relying only on a condition on the joint distribution of preferences and endowments in a large population and requiring (almost) no specification of individual behavior. Moreover, this condition can generate a market behavior, that is arbitrarily similar to the behavior of a representative agent maximizing a quadratic utility function.
Keywords: CAPM, Uniqueness, Heterogeneity, Aggregation
JEL-Classification-Number: C62, D31, G10
Creation-Date: November 1996
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