Levy, Moshe; Levy, Haim - In: Risks : open access journal 12 (2024) 3, pp. 1-16
a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all … investors. We show that under the standard assumptions, the theoretical CAPM equilibrium surprisingly holds with the 1-period … parameters, even when investors have heterogeneous and possibly much longer horizons. This is true not only for risk …