An intertemporal capital asset pricing model under incomplete information and short sales View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-05-30

AUTHORS

Mondher Bellalah, Detao Zhang

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.

PAGES

1-17

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10479-018-2909-9

DOI

http://dx.doi.org/10.1007/s10479-018-2909-9

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1104298023


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