An Intertemporal Capital Asset Pricing Model

# An Intertemporal Capital Asset Pricing Model > OpenAlex Metadata Hub · https://openalex.org/W2134807435 ## Bibliographic - **DOI:** 10.2307/1913811 - **Year:** 1973 - **Citations:** 6768 - **Open Access:** No (closed) - **License:** — - **Source:** https://doi.org/10.2307/1913811 ## Authors - Robert C. Merton ## Abstract An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand functions for assets are derived, and it is shown that, unlike the one-period model, current demands are affected by the possibility of uncertain changes in future investment opportunities. After aggregating demands and requiring market clearing, the equilibrium relationships among expected returns are derived, and contrary to the classical capital asset pricing model, expected returns on risky assets may differ from the riskless rate even when they have no systematic or market risk. ONE OF THE MORE important developments in modern capital market theory is the Sharpe-Lintner-Mossin mean-variance equilibrium model of exchange, commonly called the capital asset pricing model.2 Although the model has been the basis for more than one hundred academic papers and has had significant impact on the non-academic financial community,' it is still subject to theoretical and empirical criticism. Because the model assumes that investors choose their portfolios according to the Markowitz [21] mean-variance criterion, it is subject to all the theoretical objections to this criterion, of which there are many.4 It has also been criticized for the additional assumptions required,5 especially homogeneous expectations and the single-period nature of the model. The proponents of the model who agree with the theoretical objections, but who argue that the capital market operates as if these assumptions were satisfied, are themselves not beyond criticism. While the model predicts that the expected excess return from holding an asset is proportional to the covariance of its return with the market ## Keywords Consumption-based capital asset pricing model, Economics, Capital asset pricing model, Asset (computer security), Financial economics, Microeconomics, Computer science ## Concepts - Consumption-based capital asset pricing model - Economics - Capital asset pricing model - Asset (computer security) - Financial economics - Microeconomics - Computer science - Computer security --- *Metadata only — full text not imported unless Open Access license permits.*

Bài “An Intertemporal Capital Asset Pricing Model” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex. Tóm lược học thuật (đã diễn giải): An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand functions for assets are derived, and it is shown that, unlike the one-period model, current demands are affected by the possibility of uncertain changes in future investment opportunities. After aggregating demands and requiring market clearing, the equilibrium relationships among expected returns are derived, and contrary to the classical capital asset pricing model, expected returns on risky assets may differ from the riskless rate even when they have no systematic or market risk. ONE OF THE MORE important developments in modern capital market theory is the Sharpe-Lintner-Mossin mean-variance equilibrium model of exchange, commonly ca… Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook. Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.