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1. An intertemporal capital asset pricing model under incomplete information and short sales.

Author

Bellalah, Mondher and Zhang, Detao

Subjects
*CAPITAL assets pricing model, *CONTINUOUS time models, *FINANCIAL markets, *MARKET equilibrium, *SALES
Abstract

This paper provides the inter-temporal capital asset pricing model with incomplete information and short sales constraints. We derive the general equilibrium market equation and the security market line of the "classical" capital asset pricing model in continuous time in the presence of incomplete information and short sales. [ABSTRACT FROM AUTHOR]

Published
2019
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