Admissible uncertainty in the intertemporal asset pricing model. Journal of Economic Theory 34(1): 13–31.Ĭonstantinides, G. Journal of Economic Theory 2(2): 122–160.Ĭonnor, G. The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds. Taxes, market valuation and corporate financial policy. Journal of Financial Economics 7(3): 265–296.īrennan, M. ![]() An intertemporal asset pricing model with stochastic consumption and investment opportunities. ![]() Journal of Financial Economics 1(4): 337–352.īreeden, D. International capital market equilibrium with investment barriers. Capital market equilibrium with restricted borrowing. Journal of Financial Economics 14(1): 145–159.īlack, F. Time preference and capital asset pricing models. International portfolio choice and corporation finance: A synthesis. This process is experimental and the keywords may be updated as the learning algorithm improves.Īdler, M., and B. These keywords were added by machine and not by the authors. The Capital Asset Pricing Model (CAPM) is an example of an equilibrium model in which asset prices are related to the exogenous data, the tastes and endowments of investors although, as we shall see below, the CAPM is often presented as a relative pricing model. ![]() Examples of the former range from the static arbitrage arguments which underlie the Modigliani–Miller theorem to the dynamic arbitrage strategies which are the basis for the Option Pricing Model: such arbitrage based models can only yield the price of one asset relative to the prices of other assets. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous. Two general approaches to the problem of valuing assets under uncertainty may be distinguished.
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