Econometrica: Mar 1985, Volume 53, Issue 2

An Intertemporal General Equilibrium Model of Asset Prices

https://doi.org/0012-9682(198503)53:2<363:AIGEMO>2.0.CO;2-D
p. 363-384

John C. Cox, Jonathan E. Ingersoll, Jr., Stephen A. Ross

This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices and their stochastic properties are determined endogenously. One principal result is a partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in the economy.

Log In To View Full Content

Back