Positive Prices in CAPM
CAPM中的均衡价格可能因偏好非单调性为负，本文识别了保证价格为正的充分条件，核心是对投资者风险厌恶施加范围限制，该范围由外生参数确定并包含内生均衡。
ABSTRACT Some equilibrium prices in CAPM may be negative because of nonmonotonicity of preferences. We identify several sets of sufficient conditions for prices to be positive. The central conditions impose bounds on the investors' risk aversion. These bounds do not need to hold globally but only in a relevant range of portfolios or combinations of mean and standard deviation. The relevant range is specified on the basis of exogenous parameters and variables, and it must contain any endogenously determined equilibrium. The bounds on risk aversion ensure that the preferences for assets are sufficiently well‐behaved within the relevant range.