naa a22 4500 510808506 CHVBK 20180411083430.0 cr unu---uuuuu 180411e20130901xx s 000 0 eng 10.1007/s11579-013-0102-0 doi (NATIONALLICENCE)springer-10.1007/s11579-013-0102-0 Del Vigna Matteo Dipartimento di Matematica per le Decisioni Economiche, Università degli Studi di Firenze, Firenze, Italy aut Financial market equilibria with heterogeneous agents: CAPM and market segmentation [Elektronische Daten] [Matteo Del Vigna] We consider a single-period financial market model with normally distributed returns and heterogeneous agents. Specifically, some investors are classical expected utility maximizers whereas some others follow cumulative prospect theory. Using well-known functional forms for the preferences, we analytically prove that a Security Market Line Theorem holds. This implies that capital asset pricing model is a necessary (though not sufficient) requirement in equilibria with positive prices. We prove that equilibria may not exist and we give explicit sufficient conditions for an equilibrium to exist. To circumvent the complexity arising from the interaction of heterogeneous agents, we propose a segmented-market equilibrium model where segmentation is endogenously determined. Springer-Verlag Berlin Heidelberg, 2013 Asset pricing nationallicence Heterogeneous agents nationallicence Capital asset pricing model nationallicence Cumulative prospect theory nationallicence Mathematics and Financial Economics Springer Berlin Heidelberg 7/4(2013-09-01), 405-429 1862-9679 7:4<405 2013 7 11579 https://doi.org/10.1007/s11579-013-0102-0 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-013-0102-0 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Del Vigna Matteo Dipartimento di Matematica per le Decisioni Economiche, Università degli Studi di Firenze, Firenze, Italy aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer Berlin Heidelberg 7/4(2013-09-01), 405-429 1862-9679 7:4<405 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer