March 198^^ ON SOLUTIONS OF A DYNAMIC MEAN-VARIANCE MOOEL WITH RATIONAL EXPECTATIONS. (Preliminary version) * * •)(• L. Broze and A. Szafarz AS^y>t -zaci We consider a capital market vvith a risky and a riskless asset ( Grossman-St igl itz (1980), Hellvvig (1982 )). The equilibrium price of the risky securities is described by a rational expectations mean-variance model. The g ênerai solution of this model is presented with spécial attention given to the linear solutions. The linear stationary solutions are also described. In the explosive case, there are two stationary equilibria vvhile in the non-explosive case, the infinity of equilibria is parametrized. Finally, the results are extended to markets in vvhich several groups of agents use différent informations. *C.E.M.E. and I.R.S.I.A. , * **C.E.M.E. Address : Université Libre de Bruxelles Centre d'Economie Mathématique et d'Econométrie C.P. 139 50, av. F.-D. Roosevelt 1050 Brussels