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The Consumption-Based Capital Asset Pricing Model

Author

Listed:
  • Darrell Duffie

    (Graduate School of Business, Stanford University)

  • William Zame

    (Department of Mathematics, State University of New York)

Abstract

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.

Suggested Citation

  • Darrell Duffie & William Zame, 1988. "The Consumption-Based Capital Asset Pricing Model," Discussion Papers 88-10, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:8810
    as

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