The Consumption-Based Capital Asset Pricing Model

Darrell Duffie and William Zame

No 88-10, Discussion Papers from University of Copenhagen. Department of Economics

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.

Keywords: finance; general equilibrium theory; asset pricing theory; CAPM (search for similar items in EconPapers)
Pages: 21 pages
Date: 1988-06
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Citations: View citations in EconPapers (10)

Published in: Econometrica, 1989, 57(6) pp 1279-97

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