The consumption-based capital asset pricing model. (English) Zbl 0684.90007

Duffie, Darrell; Zame, William

Econometrica 57, No. 6, 1279-1297 (1989).

Summary: The 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 J. C. Cox, J. E. Ingersoll and S. A. Ross [ibid. 53, 363–384 (1985; Zbl 0576.90006)] to multi-agent economies. We do not use a Markovian state assumption.

MSC:

91G99	Actuarial science and mathematical finance
91B24	Microeconomic theory (price theory and economic markets)
91G30	Interest rates, asset pricing, etc. (stochastic models)

Keywords:

finance; continuous-time economy; consumption-based capital asset pricing model; multi-agent economies

Citations:

Zbl 0576.90006