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An Intertemporal General Equilibrium Model of Asset Prices
Author(s): John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross
Source: Econometrica, Vol. 53, No. 2 (Mar., 1985), pp. 363-384
Published by: The Econometric Society
Stable URL: /stable/1911241 .
Accessed: 24/04/2013 12:50
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Econometrica,Vol. 53, No. 2 (March, 1985)
AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF
ASSET PRICES
BY JOHN C. COX,JONATHAN E. INGERSOLL, JR., AND STEPHEN A. Ross
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.
1. INTR
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