The Consumption-Based Capital Asset Pricing Model
The Consumption-Based Capital Asset Pricing Model
复制标题
基于消费的资本资产定价模型
作者：
D. Duffie;W. Zame
本文给出了连续时间经济中存在服从基于消费的资本资产定价模型的均衡的基本条件。本文还将考克斯、英格索尔和罗斯（1985）的利率均衡特征扩展到多主体经济。没有使用马尔可夫状态假设。版权所有1989年由计量经济学会。
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. Copyright 1989 by The Econometric Society.