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ARCH Models and Financial Applications pp 183–206Cite as

Equilibrium Models

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Abstract

The Capital Asset Pricing Model (CAPM) is obtained by adding to the optimal behavior of the asset demanders an equilibrium condition on supply and demand. This model was derived independently by Sharpe (1964), Lintner (1965) and Mossin (1966).

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Authors and Affiliations

  1. Centre de Recherche en Economie et Statistique, Laboratoire de Finance-Assurance, Bâtiment Malakoff 2-Timbre J320, 15 Boulevard Gabriel Péri, Malakoff Cedex, 92245, France

    Christian Gouriéroux

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  1. Christian Gouriéroux
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© 1997 Springer Science+Business Media New York

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Gouriéroux, C. (1997). Equilibrium Models. In: ARCH Models and Financial Applications. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1860-9_9

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  • DOI: https://doi.org/10.1007/978-1-4612-1860-9_9

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4612-7314-1

  • Online ISBN: 978-1-4612-1860-9

  • eBook Packages: Springer Book Archive

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