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A Class of Models satisfying a Dynamical Version of the CAPM

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003

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.

Persistent link: https://www.econbiz.de/10010905244

A Class of Models satisfying a Dynamical Version of the CAPM.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003

Persistent link: https://www.econbiz.de/10008532425

Arbitrage and investment opportunities

Jouini, Elyès; Napp, Clotilde - 1998

Persistent link: https://www.econbiz.de/10000993493

Arbitrage and investment opportunities

Jouini, Elyès; Napp, Clotilde - In: Finance and stochastics 5 (2001) 3, pp. 305-325

Persistent link: https://www.econbiz.de/10001599273

A class of models satisfying a dynamical version of the CAPM

Jouini, Elyès; Napp, Clotilde - HAL - 2003

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

A class of models satisfying a dynamical version of the CAPM

Jouini, Elyès; Napp, Clotilde - In: Economics letters 79 (2003) 3, pp. 299-304

Persistent link: https://www.econbiz.de/10001755273

Hétérogénéité des croyances, prix du risque et volatilité des marchés

Jouini, Elyès; Napp, Clotilde - In: Revue d'économie financière : revue trimestrielle de … (2004) 74, pp. 125-137

Persistent link: https://www.econbiz.de/10002514700

Aggregation of heterogeneous beliefs

Jouini, Elyès; Napp, Clotilde - In: Journal of mathematical economics 42 (2006) 6, pp. 752-770

Persistent link: https://www.econbiz.de/10003376556

Heterogeneous beliefs and asset pricing in discrete time : an analysis of pessimism and doubt

Jouini, Elyès; Napp, Clotilde - In: Journal of economic dynamics & control 30 (2006) 7, pp. 1233-1260

Persistent link: https://www.econbiz.de/10003336480

Consensus consumer and intertemporal asset pricing with heterogeneous beliefs

Jouini, Elyès; Napp, Clotilde - In: The review of economic studies 74 (2007) 4, pp. 1149-1174

Persistent link: https://www.econbiz.de/10003537515