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

被引：2

作者：

Bellalah, Mondher ^{[1
,2
]}

Zhang, Detao ^{[3
]}

机构：

[1] Univ Cergy Pontoise, THEMA, Cergy Pontoise, France

[2] ISC Paris Business Sch, Paris, France

[3] Shandong Univ, Sch Econ, Jinan, Shandong, Peoples R China

来源：

ANNALS OF OPERATIONS RESEARCH | 2019年 / 281卷 / 1-2期

关键词：

Inter-temporal capital asset pricing; Information uncertainty; Short sales; CORPORATE INTERNATIONAL INVESTMENT; CONSUMPTION; EQUILIBRIUM;

D O I：

10.1007/s10479-018-2909-9

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：143 / 159

页数：17

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