Intertemporal equilibrium models of the kind discussed in (Asset pricing, Princeton University Press, Princeton, 2001) have become the standard paradigm in most advanced asset pricing courses. The purpose of this chapter is to explain the relationship between this paradigm and the portfolio theory paradigm common in most of the prior asset pricing literature. We show that these paradigms are merely different ways of looking at the same economic phenomena, and that insights can be gained from each approach.
|Title of host publication||Handbook of Quantitative Finance and Risk Management|
|Editors||Cheng-Few Lee, Alice C Lee, John Lee|
|Place of Publication||New York USA|
|Pages||283 - 287|
|Number of pages||5|
|Publication status||Published - 2010|