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

作者：Bellalah, Mondher; Zhang, Detao^*

来源：Annals of Operations Research, 2019, 281(1-2): 143-159.

DOI：10.1007/s10479-018-2909-9

• Inter-temporal capital asset pricing
• Information uncertainty
• Short sales

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.

• 出版日期2019-10
• 单位山东大学