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.
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|Date of creation:||Jun 1988|
|Date of revision:|
|Publication status:||Published in: Econometrica, 1989, 57(6) pp 1279-97|
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