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- - - - Intertemporal CAPM (iCAPM) - Wikipedia
        
        State variables
        
        Merton considers a continuous time market in equilibrium.
        
        The investor maximizes his Von Neumann–Morgenstern utility:
        
        The state variable (X) follows a Brownian motion:
        
        We can use dynamic programming to solve the problem.
        
        "Multifactor Portfolio Efficiency and Multifactor Asset Pricing" by Eugene F. Fama, (The Journal of Financial and Quantitative Analysis), Vol. 31, No. 4, Dec., 1996