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:	[2015]
Authors:	Jouini, Elyès
Other Persons:	Napp, Clotilde (contributor)
Publisher:	[2015]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Notes:	In: Economics Lettersm Vol. 79, pp. 299-304, 2003 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2, 2009 erstellt
Classification:	D50 - General Equilibrium and Disequilibrium. General ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012750509