MULTIPERIOD EQUILIBRIUM ASSET PRICING MODEL

被引:45
作者
STAPLETON, RC [1 ]
SUBRAHMANYAM, MG [1 ]
机构
[1] UNIV MICHIGAN, ANN ARBOR, MI 48104 USA
关键词
D O I
10.2307/1911437
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:1077 / 1096
页数:20
相关论文
共 23 条
[1]  
FAMA E, 1974, J FINANC ECON, P43
[2]  
FAMA EF, 1970, AM ECON REV, V60, P163
[3]  
Feller W., 1966, INTRO PROBABILITY TH, V2
[4]  
Hakanson N. H., 1969, INT ECON REV, V10, P443, DOI [DOI 10.2307/2525655, 10.2307/2525655]
[5]   OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS [J].
HAKANSSO.NH .
ECONOMETRICA, 1970, 38 (05) :587-&
[6]   OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS [J].
HAKANSSON, NH .
JOURNAL OF BUSINESS, 1971, 44 (03) :324-334
[7]  
HAMADA R, 1974, MULTIPERIOD CAPITAL
[8]  
Jensen Michael C. Fischer, 1972, STUDIES THEORY CAPIT
[10]  
LINTNER J, 1971, CORPORATE EC GROWTH