Approximate CAPM when preferences are CRRA
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Publication:883129
DOI10.1007/s10614-006-9061-3zbMath1291.91079OpenAlexW2120808060MaRDI QIDQ883129
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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Cites Work
- Advances in prospect theory: cumulative representation of uncertainty
- Necessary conditions for the CAPM
- Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
- Some Results in the CAPM with Nontraded Endowments
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- Computing Equilibria in Finance Economies