The Consumption-Based Capital Asset Pricing Model

This 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 Cox, Ingersoll, and Ross (1985) to multiagent economies. No Markovian state assumption is used.

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Year of publication:	1988-06
Authors:	Duffie, Darrell ; Zame, William
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	finance \| general equilibrium theory \| asset pricing theory \| CAPM

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Published in: Econometrica, 1989, 57(6) pp 1279-97 Number 88-10 21 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005749826