Exact solution of asset pricing models with arbitrary shock distributions (Q1853226)
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| English | Exact solution of asset pricing models with arbitrary shock distributions |
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Exact solution of asset pricing models with arbitrary shock distributions (English)
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21 January 2003
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The paper provides an exact solution to standard asset pricing models for any distribution of shocks to endowment's growth rate. It determines the conditions that guarantee the existence of a stationary bounded equilibrium, and examines these conditions for an Edgeworth expansion distribution of the shocks. The results are extended to the case of multivariate asset pricing models.
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asset pricing models
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equilibrium
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Edgeworth
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