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| Tekijä: | Magill, M. Quinzii, M. |
| Otsikko: | Infinite horizon CAPM equilibrium. |
| Lehti: | Economic Theory
2000 : VOL. 15:1, p. 103-138 |
| Asiasana: | Capital asset pricing Markov chains Consumption Incomplete markets Market theory |
| Kieli: | eng |
| Tiivistelmä: | This paper derives the equilibrium of an infinite-horizon discretetime CAPM economy in which agents have discounted expected quadratic utility functions. CAPM (Capital Asset Pricing Model) provides insight into the two basic components of a financial market equilibrium, the prices of the securities and the consumption streams of the agents. |
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