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 economies. No Markovian state assumption is used.
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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
88-10.
Length: 21 pages Date of creation: Jun 1988 Date of revision: Publication status: Published in: Econometrica, 1989, 57(6) pp 1279-97 Handle: RePEc:kud:kuiedp:8810
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