Infinite horizon CAPM equilibrium

DOI10.1007/S001990050003MaRDI QIDQ1969022zbMATH OpenOpenAlexFDO

Authors Martine Quinzii, Michael J. P. Magill

Publication date 22 June 2000

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001990050003

zbMATH Keywords

CAPM equilibriumconsumption smoothingincomplete marketsMarkov economy

Mathematics Subject Classification ID

Special types of economic equilibria (91B52)

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Cited in

(7)

• The instantaneous capital market line
• Continuity of marketable payoffs with re-trading
• Coupled projects, core imputations, and the CAPM
• Credit risk in general equilibrium
• Incomplete markets and volatility
• Recursive equilibrium in endogenous growth models with incomplete markets
• The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

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