THE RELATION BETWEEN INVESTOR'S GREEDINESS AND THE ASSET PRICE IN THE MEAN-VARIANCE MARKET
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We will discuss the role of investor's "greediness" , i.e., the investor's expected rate of return out Abstract of the investment, on the determination of the asset price in the multi-period portfolios owned by investors in the mean-variance capital market. We will derive the closed form of the equilibrium price vector and show that the average greediness of investors must be less than the expected rate of return of the market portfolio to guarantee the existence of a non-negative equilibrium price system. These results will be applied to the analysis of the "bubble" of the capital market and to the pricing of a new stock to be listed in the capital market.
- 社団法人日本オペレーションズ・リサーチ学会の論文
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