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In general equilibrium models of financial markets, the cpital asset pricing formula does not hold when agents have von Neumann-Morgenstern utility with constant relative risk aversion. In this paper we examine under which conditions on endownments and dividens the pricing formula provides a...
Persistent link: https://www.econbiz.de/10011160367
ideally suited for the study of problems in cross sectional asset pricing and portfolio theory. In this paper we develop a …
Persistent link: https://www.econbiz.de/10011160546