INTERTEMPORAL CAPITAL ASSET PRICING MODEL

被引:2645
作者
MERTON, RC [1 ]
机构
[1] MIT,CAMBRIDGE,MA 02139
关键词
D O I
10.2307/1913811
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:867 / 887
页数:21
相关论文
共 42 条
[1]  
[Anonymous], 1959, Cowles Foundation Monograph
[2]   THE ROLE OF SECURITIES IN THE OPTIMAL ALLOCATION OF RISK-BEARING [J].
ARROW, KJ .
REVIEW OF ECONOMIC STUDIES, 1964, 31 :91-96
[3]   CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].
BLACK, F .
JOURNAL OF BUSINESS, 1972, 45 (03) :444-455
[4]  
Black Fischer., 1972, STUDIES THEORY CAPIT
[5]   NOTE ON UNCERTAINTY AND INDIFFERENCE CURVES [J].
BORCH, K .
REVIEW OF ECONOMIC STUDIES, 1969, 36 (01) :1-4
[6]   STRUCTURE OF INVESTOR PREFERENCES AND ASSET RETURNS, AND SEPARABILITY IN PORTFOLIO ALLOCATION - CONTRIBUTION TO PURE THEORY OF MUTUAL FUNDS [J].
CASS, D ;
STIGLITZ, JE .
JOURNAL OF ECONOMIC THEORY, 1970, 2 (02) :122-160
[7]   SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].
CLARK, PK .
ECONOMETRICA, 1973, 41 (01) :135-155
[8]  
Cox D., 1968, THEORY STOCHASTIC PR
[9]  
Fama E.F., 1972, THEORY FINANCE
[10]   EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK [J].
FAMA, EF .
JOURNAL OF FINANCE, 1970, 25 (02) :383-423