A Theoretical Extension of the Consumption-based CAPM Model
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References listed on IDEAS
- Kais Dachraoui & Georges Dionne, 2007. "Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors," The European Journal of Finance, Taylor & Francis Journals, vol. 13(5), pages 397-404.
- Franco Pellerey & Patrizia Semeraro, 2005. "A Note on the Portfolio Selection Problem," Theory and Decision, Springer, vol. 59(4), pages 295-306, December.
More about this item
KeywordsConsumption-based CAPM; Risk premium; Equity premium puzzle;
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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