Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

A short note on the problematic concept of excess demand in asset pricing models with mean-variance optimization

Tools
- Tools
+ Tools

Franke, Reiner (2008) A short note on the problematic concept of excess demand in asset pricing models with mean-variance optimization. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.08-).

[img]
Preview
PDF
WRAP_Franke_fwp08-02.pdf - Requires a PDF viewer.

Download (561Kb)
Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

Request Changes to record.

Abstract

Referring to asset pricing models where demand is proportional to excess returns and said to be derived from a mean-variance optimization problem, the note formulates what probably is common knowledge but hardly ever made an explicit subject of discussion. This is an insufficient distinction between the desired holding of the risky asset on the part of the speculative agents, which is the solution to the optimization problem and usually directly presented as excess demand, and the desired change in this holding, which is what should reasonably constitute the excess demand on the market. The note arrives at the conclusion that in models with a market maker the story of the maximization of expected wealth should be dropped.

Item Type: Working or Discussion Paper (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Assets (Accounting), Prices -- Mathematical models, Maximum principles (Mathematics), Mathematical optimization, Demand (Economic theory)
Series Name: Working papers (Warwick Business School. Financial Econometrics Research Centre)
Publisher: Warwick Business School, Financial Econometrics Research Centre
Place of Publication: Coventry
Official Date: March 2008
Dates:
DateEvent
March 2008Published
Number: No.08-
Number of Pages: 11
Status: Not Peer Reviewed
Access rights to Published version: Open Access
Funder: Sixth Framework Programme (European Commission) (FP6)
Grant number: 516446 (SFP)

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us