Econometrica: Nov 1989, Volume 57, Issue 6
The Consumption-Based Capital Asset Pricing Model
https://doi.org/0012-9682(198911)57:6<1279:TCCAPM>2.0.CO;2-P
p.
1279-1297
Darrell Duffie, William Zame
The paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM). The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multi-agent economies. We do not use a Markovian state assumption.Log In To View Full Content