Asset Pricing in Multiperiod Securities Markets

DOI10.2307/1913098zbMath0657.90012OpenAlexW2029196429MaRDI QIDQ3806953

Gary Chamberlain

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/292599/files/uwmad-0019.PDF

zbMATH Keywords

stochastic processsufficient statisticmartingale representationfactor structurecapital asset pricingmarket portfoliointertemporal modelsaggregate consumptionscalar Brownian motion

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39) Economic growth models (91B62)

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