An intertemporal capital asset pricing model under incomplete information and short sales

DOI10.1007/s10479-018-2909-9zbMath1430.91119OpenAlexW2805712954WikidataQ129800614 ScholiaQ129800614MaRDI QIDQ2288897

Mondher Bellalah, Detao Zhang

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2909-9

zbMATH Keywords

short salesinformation uncertaintyinter-temporal capital asset pricing

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A simple model of corporate international investment under incomplete information and taxes
• Short-sale constraints, information acquisition, and asset prices
• A direct method in optimal portfolio and consumption choice
• A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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