We examine the notion of the core when cooperation takes place in a setting with time and uncertainty. We do so in a two-period general equilibrium setting with incomplete markets. Market incompleteness implies that players cannot make all possible binding commitments regarding their actions at...

In this paper, we show that the capital asset pricing model can be derived from a three- period general equilibrium model even if the agents of the financial economy have time- inconsistent preferences, i.e. they are either sophisticated or naive

Purpose Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well. Design/methodology/approach In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. Findings We...