Abstract
As we saw in the previous chapter, in discrete time the CAPM assumes very particular specifications for agents’ preferences. Originally, continuous-time equilibrium models were introduced to relax these assumptions. The first models considered had one agent, and the methods used to analyze them were essentially those of dynamic programming (see for example Merton [273], Cox et al [70], Breeden [43]). It is only in the last decade that the problem of the existence of equilibrium in continuous time with financial markets has been addressed, and that various properties of the CAPM have been proven. Note that there is no existence result in the incomplete markets case.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Rights and permissions
Copyright information
© 2007 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
(2007). Equilibrium of Financial Markets in Continuous Time. The Complete Markets Case. In: Financial Markets in Continuous Time. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71150-6_7
Download citation
DOI: https://doi.org/10.1007/978-3-540-71150-6_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-71149-0
Online ISBN: 978-3-540-71150-6
eBook Packages: Springer Book Archive