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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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https://halshs.archives-ouvertes.fr/halshs-00167159
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Submitted on : Tuesday, August 21, 2007 - 3:11:20 AM
Last modification on : Wednesday, November 17, 2021 - 12:27:11 PM
Long-term archiving on: : Friday, April 9, 2010 - 12:46:48 AM

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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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