A class of models satisfying a dynamical version of the CAPM
AbstractUnder a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 79 (2003)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Elyès Jouini & Clotilde Napp, 2003. "A class of models satisfying a dynamical version of the CAPM," Post-Print halshs-00167159, HAL.
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Jouini, Elyès & Chazal, Marie, 2008. "Equilibrium Pricing Bound on Option Prices," Economics Papers from University Paris Dauphine 123456789/30, Paris Dauphine University.
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