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...

This paper provides an extension of general equilibrium theory that incorporates the actions of individuals both as demanders and suppliers of goods and as members of firms, schools, social groups, and contractual relationships. The central notion of the paper is a group: a collection of...

The Lucas asset pricing model is studied here in a controlled setting. Participants could trade two long-lived securities in a continuous open-book system. The experimental design emulated the stationary, infinite-horizon setting of the model and incentivized participants to smooth consumption...