The Consumption-Based Capital Asset Pricing Model
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. Copyright 1989 by The Econometric Society.
Volume (Year): 57 (1989)
Issue (Month): 6 (November)
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