Asset Pricing in Multiperiod Securities Markets

DOI10.2307/1913098MaRDI QIDQ3806953zbMATH OpenOpenAlexFDO

Authors Gary Chamberlain

Publication date 1988

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/292599/files/uwmad-0019.PDF

zbMATH Keywords

martingale representationsufficient statisticstochastic processfactor structurecapital asset pricingmarket portfoliointertemporal modelsaggregate consumptionscalar Brownian motion

Mathematics Subject Classification ID

Dynamic programming (90C39) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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