Title of article :
A class of models satisfying a dynamical version of the CAPM
Author/Authors :
Elyès Jouini، نويسنده , , Clotilde Napp، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption
Keywords :
equilibrium , Market beta , CAPM , Financial markets , CCAPM
Journal title :
Economics Letters
Journal title :
Economics Letters
