Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

DOI10.1023/A:1009843432166MaRDI QIDQ2709158zbMATH OpenOpenAlexFDO

Authors Peter Ove Christensen, Kristian R. Miltersen, Svend-Erik Graversen

Publication date 5 March 2002

Published in European Finance Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009843432166

zbMATH Keywords

consumption-based capital asset pricing modeldynamically effectively complete marketPareto optimal consumption allocation

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Consumer behavior, demand theory (91B42)

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(2)

• Price impact in Nash equilibria
• The Consumption-Based Capital Asset Pricing Model

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