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An intertemporal capital asset pricing model under incomplete information and short sales.
- Source :
-
Annals of Operations Research . Oct2019, Vol. 281 Issue 1/2, p143-159. 17p. - Publication Year :
- 2019
-
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]
Details
- Language :
- English
- ISSN :
- 02545330
- Volume :
- 281
- Issue :
- 1/2
- Database :
- Academic Search Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 138884881
- Full Text :
- https://doi.org/10.1007/s10479-018-2909-9