The Consumption-Based Capital Asset Pricing Model.

This paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the consumption-based capital asset pricing model. The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multiagent economies. No Markovian state assumption is used. Copyright 1989 by The Econometric Society.

MoreLess

Year of publication:	1989
Authors:	Duffie, Darrell ; Zame, William
Published in:	Econometrica. - Econometric Society. - Vol. 57.1989, 6, p. 1279-97
Publisher:	Econometric Society

Online Resource

Check full text access |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005231835