An intertemporal capital asset pricing model under incomplete information and short sales

Mondher Bellalah () and Detao Zhang ()
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Mondher Bellalah: University of Cergy-Pontoise
Detao Zhang: Shandong University

Annals of Operations Research, 2019, vol. 281, issue 1, No 7, 143-159

Abstract: Abstract This paper provides the inter-temporal capital asset pricing model with incomplete information and short sales constraints. We derive the general equilibrium market equation and the security market line of the “classical” capital asset pricing model in continuous time in the presence of incomplete information and short sales.

Keywords: Inter-temporal capital asset pricing; Information uncertainty; Short sales (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10479-018-2909-9

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