Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
Financial theory
Asset pricing model |
| gptkbp:accountsFor |
Changing investment opportunities
Multiple periods |
| gptkbp:alsoKnownAs |
ICAPM
|
| gptkbp:assumes |
Investors maximize expected utility over time
|
| gptkbp:citation |
Academic finance literature
|
| gptkbp:developedBy |
gptkb:Robert_Merton
|
| gptkbp:extendsTo |
gptkb:Capital_Asset_Pricing_Model
|
| gptkbp:form |
Stochastic differential equations
|
| gptkbp:hasConcept |
State variables
Intertemporal hedging |
| https://www.w3.org/2000/01/rdf-schema#label |
Intertemporal CAPM
|
| gptkbp:includes |
Hedging demands
|
| gptkbp:influenced |
Multi-factor models
|
| gptkbp:introducedIn |
1973
|
| gptkbp:predicts |
Asset returns depend on multiple risk factors
|
| gptkbp:publishedIn |
gptkb:Econometrica
|
| gptkbp:relatedTo |
Consumption-based asset pricing
|
| gptkbp:usedIn |
Portfolio management
Risk management |
| gptkbp:bfsParent |
gptkb:Asset_Pricing
|
| gptkbp:bfsLayer |
7
|