A class of models satisfying a dynamical version of the CAPM

Elyès Jouini (1) , Clotilde Napp (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 DRM - Dauphine Recherches en Management

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Mots clés: CAPM; CCAPM; market beta; equilibrium; financial markets

Domaines: Economies et finances

Elyès Jouini, Clotilde Napp. A class of models satisfying a dynamical version of the CAPM. Economic Letters, 2003, pp.299-304. ⟨halshs-00167159⟩