In mathematical finance, the intertemporal capital asset pricing model, or ICAPM, created by Robert C. Merton, is an alternative to the capital asset pricing model (CAPM). It is a linear factor model with wealth as state variable that forecasts changes in the distribution of future returns or income.
In mathematical finance, the intertemporal capital asset pricing model, or ICAPM, created by Robert C. Merton, is an alternative to the capital asset pricing model (CAPM). It is a linear factor model with wealth as state variable that forecasts changes in the distribution of future returns or income.
Source: Wikipedia "Intertemporal CAPM" · CC BY-SA 4.0
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