Charles S. Tapiero
Topfer Chair Professor of Financial Engineering
Department of Finance and Risk Engineering
New York University Polytechnic Institute
Models and the CCAPM
This paper outlines a Multi-Agent CCAPM pricing model that highlights both the effects of income inequalities and agents’ portfolio selection and their dependence. The paper’s essential results consist in a decomposition of a multi-agents game into a two-agent pricing game consisting of a specific agent and a synthetic agent summarizing all other agents. A number of cases, including debt pricing, the effects of regulation on prices, and others are used to demonstrate the effects of various economic factors and multi-agents on the financial pricing.