2

The intertemporal capital asset pricing model (ICAPM), under the usual assumptions, produces a multifactor pricing model like the one described in this question.

When and how would it be possible to test this result when the assets' mean returns and variance-covariance matrix of returns are not constant over time?

jmbejara
  • 9,345
  • 5
  • 30
  • 80

0 Answers0