A class of models satisfying a dynamical version of the CAPM

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

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