Kazemi, Hossein B; Milonas, Nikolaos T; Nanisetty, Prasad - In: Review of Quantitative Finance and Accounting 5 (1995) 3, pp. 231-40
Using a continuous-time framework, Kazemi (1992) shows that changes in prices of long-term bonds could be perfectly correlated with changes in the representative investor's marginal utility of wealth. Therefore, the equilibrium expected excess return on any security would be proportional to its...