AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES

@article{Cox1985ANIG,
  title={AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES},
  author={John C. Cox and Jonathan E. Ingersoll and Stephen A. Ross},
  journal={Econometrica},
  year={1985},
  volume={53},
  pages={363-384}
}
This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices and their stochastic properties are determined endogenously. One principal result is a partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in the economy. IN THIS PAPER, we develop a general… 

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