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- W2257527191 abstract "In general equilibrium models of financial markets, the cpital asset pricing formula does not hold when agents have von Neumann-Morgenstern utility with constant relative risk aversion. In this paper we examine under which conditions on endownments and dividens the pricing formula provides a good benchmark for equilibrium returns. While it is easy to construct examples where equilibrium returns are arbitrarily far from those predicted by CAPM, we show that there is a large class of economies where CAPM provides a very good approximation. Although the pricing formula does not hold exactly for the chosen specification, it turns out that pricing-errors are extremely small." @default.
- W2257527191 created "2016-06-24" @default.
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- W2257527191 date "2003-01-01" @default.
- W2257527191 modified "2023-09-23" @default.
- W2257527191 title "Approximate CAPM when preferences are CRRA" @default.
- W2257527191 hasPublicationYear "2003" @default.
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