The Consumption-Based Capital Asset Pricing Model

Darrell Duffie and William Zame

Econometrica, 1989, vol. 57, issue 6, 1279-97

Abstract: This paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the consumption-based capital asset pricing model. The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multiagent economies. No Markovian state assumption is used. Copyright 1989 by The Econometric Society.

Date: 1989
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Working Paper: The Consumption-Based Capital Asset Pricing Model (1988)
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