Intertemporal equilibrium models, portfolio theory and the capital asset pricing model

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Abstract

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.
Original languageEnglish
Title of host publicationHandbook of Quantitative Finance and Risk Management
EditorsCheng-Few Lee, Alice C Lee, John Lee
Place of PublicationNew York USA
PublisherSpringer
Pages283 - 287
Number of pages5
ISBN (Print)9780387771168
DOIs
Publication statusPublished - 2010
Externally publishedYes

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