Why the Market's Participants in the Modigliani-Miller Model are Markowitz Rational? - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2017

Why the Market's Participants in the Modigliani-Miller Model are Markowitz Rational?

Résumé

The seminal works of Modigliani-Miller and Markowitz-Sharpe remain the cornerstone of financial theory. We reconcile these seemingly distinct approaches, in a unified theorem, by showing that the agents acting on the market defined by Modigliani-Miller are Markowitz rational when deriving the arbitrage reasoning in terms of Sharpe ratios. As a main policy implication, we show that government guarantees modify market's equilibrium as they provoke arbitrage opportunities.
Fichier non déposé

Dates et versions

hal-01526353 , version 1 (23-05-2017)

Identifiants

  • HAL Id : hal-01526353 , version 1

Citer

Sofiane Aboura, Emmanuel Lépinette-Denis. Why the Market's Participants in the Modigliani-Miller Model are Markowitz Rational?. 2017. ⟨hal-01526353⟩
94 Consultations
0 Téléchargements

Partager

Gmail Facebook X LinkedIn More