A Multiperiod Equilibrium Asset Pricing Model

DOI10.2307/1911437MaRDI QIDQ4194696zbMATH OpenOpenAlexFDO

Authors Marti G. Subrahmanyam, Richard C. Stapleton

Publication date 1978

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911437

zbMATH Keywords

Dynamic Economic ModelMultiperiod Equilibrium Asset Pricing ModelNormative Capital BudgetingPortfolio Theory

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cited in

(3)

• The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM
• The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
• On the dynamics of asset prices and portfolios in a multiperiod CAPM

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