A Three-Period Extension of The CAPM

Helga Habis and Laura Perge

Corvinus Economics Working Papers (CEWP) from Corvinus University of Budapest

Abstract: In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. We show that our extended model yields a Pareto efficient outcome. This result indicates that the beta pricing formula could be applied in a long term model settings as well.

Keywords: general equilibrium; CAPM; intertemporal choice; Pareto efficiency (search for similar items in EconPapers)
JEL-codes: D15 D53 G12 (search for similar items in EconPapers)
Date: 2022-01-18
New Economics Papers: this item is included in nep-cwa, nep-dge, nep-fmk, nep-ore and nep-reg
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https://unipub.lib.uni-corvinus.hu/7147/ original version (application/pdf)

Related works:
Journal Article: A three-period extension of the CAPM (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:cvh:coecwp:2022/01

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