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Within mathematical finance, the intertemporal capital asset pricing model, or ICAPM, is an alternative to the CAPM provided by Robert Merton. It is a linear factor model with wealth as state variable that forecasts changes in the distribution of future returns or income.
In the ICAPM investors are solving lifetime consumption decisions when faced with more than one uncertainty. The main difference between ICAPM and standard CAPM is the additional state variables that acknowledge the fact that investors hedge against shortfalls in consumption or against changes in the future investment opportunity set.
Within mathematical finance, the intertemporal capital asset pricing model, or ICAPM, is an alternative to the CAPM provided by Robert Merton. It is a...
generalized in the intertemporalCAPM (ICAPM) of Robert Merton, and the consumption CAPM (CCAPM) of Douglas Breeden and Mark Rubinstein. CAPM assumes that all...
asset pricing model (CAPM) as the prototypical result. Prices here are determined with reference to macroeconomic variables–for the CAPM, the "overall market";...
pricing models (CAPM and extensions) Capital asset pricing model (CAPM) Consumption-based capital asset pricing model (CCAPM) IntertemporalCAPM (ICAPM) Single-index...
as relevant in pricing. The intertemporalCAPM and consumption-based CAPM similarly extend the model. With intertemporal portfolio choice, the investor...
pricing) or extended (Multi-factor models, models of the short rate, intertemporalCAPM, Black–Litterman model). Coursework here is often titled "Asset pricing"...
In a more general setting, the CAPM typically implies multiple risk factors, as shown in Merton's IntertemporalCAPM theory. Moreover, the ICAPM generally...
state prices in financial economics, and for his work on the Consumption CAPM. He was the International Association for Quantitative Finance “Financial...
risk / return characteristics improve when the asset is added to it. The CAPM is a model that derives the theoretical required expected return (i.e., discount...
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