Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Mar, 1985, Volume 53, Issue 2

An Intertemporal General Equilibrium Model of Asset Prices<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.

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