A class of models satisfying a dynamical version of the CAPM

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

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Year of publication:	2003
Authors:	Jouini, Elyès ; Napp, Clotilde
Institutions:	HAL
Subject:	CAPM \| CCAPM \| market beta \| equilibrium \| financial markets

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00167159/en/ Published, Economic Letters, 2003, 299-304
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008793270