Econometrica: Nov 1989, Volume 57, Issue 6
The Consumption-Based Capital Asset Pricing Model
Darrell Duffie, William ZameThe paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM). The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multi-agent economies. We do not use a Markovian state assumption.
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