Equilibrium in asset markets
AbstractThis paper critically reviews the different models of equilibrium in asset markets. The survey includes the Sharpe-Lintner-Black model, and Roll´s critique, Merton´s intertemporal multibeta version in continuos time, the aggregate consumption model developed by Breeden, Ross´arbitrage pricing theory, and Grinblatt and Titman´s equilibrium arbitrage pricing theory in finite economies. Although the emphasis is on the theoretical work, the main empirical results are also outlined.
Keywords Equilibrium, Asset markets, Theoretical approach
How to Cite
Gregoire C., J., & Zurita, S. (1994). Equilibrium in asset markets. Estudios de Administración, 1(1), 15-44. doi:10.5354/0719-0816.1994.56685