A class of models satisfying a dynamical version of the CAPM

DOI10.1016/S0165-1765(03)00003-XzbMath1254.91712MaRDI QIDQ1927311

Clotilde Napp, Elyès Jouini

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

equilibriumfinancial marketsCAPMCCAPMmarket beta

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

Equilibrium pricing bounds on option prices

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Nonparametric risk management and implied risk aversion
• Optimization Problems in the Theory of Continuous Trading
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information

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