Approximate CAPM when preferences are CRRA

DOI10.1007/S10614-006-9061-3zbMATH Open1291.91079OpenAlexW2120808060MaRDI QIDQ883129FDOQ883129

Authors: P. Jean-Jacques Herings, Felix Kubler 

Publication date: 31 May 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/a85e3b7e-f0b5-45b7-bfae-b5e8838f4156

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zbMATH Keywords

incomplete marketsgeneral equilibriumasset pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50)

Cites Work

• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Advances in prospect theory: cumulative representation of uncertainty
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Computing Equilibria in Finance Economies
• Necessary conditions for the CAPM
• Some Results in the CAPM with Nontraded Endowments

Cited In (2)

• A class of models satisfying a dynamical version of the CAPM
• CAPM-anomalies: quantitative puzzles

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