×

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

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)

Citations:

Zbl 0576.90006
PDF BibTeX XML Cite
Full Text: DOI Link