The equity premium in Brock's asset pricing model

DOI10.1016/J.JEDC.2006.06.008MaRDI QIDQ1027366zbMATH OpenOpenAlexFDO

Authors Levent Akdeniz, W. Davis Dechert

Publication date 1 July 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/11579

zbMATH Keywords

computational economicsprojection methodsasset pricing modelsstochastic growth models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 3773316 (Why is no real title available?)
• A simple model of incomplete insurance The case of permanent shocks
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• Asset Prices in an Exchange Economy
• Do CAPM results hold in a dynamic economy? A numerical analysis
• Exploring general equilibrium. Foreword by Edward L. Glaeser.
• Inflation and Asset Prices in an Exchange Economy
• Projection methods for solving aggregate growth models
• Recursive competitive equilibrium: a parametric example
• Risk and return in a dynamic general equilibrium model
• WELFARE GAINS FROM STABILIZATION IN A STOCHASTICALLY GROWING ECONOMY WITH IDIOSYNCRATIC SHOCKS AND FLEXIBLE LABOR SUPPLY

Cited in

(7)

• Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle
• SPECTRAL PROPERTIES OF ASSET PRICING MODELS: A GENERAL EQUILIBRIUM PERSPECTIVE
• Asset pricing and productivity growth: The role of consumption scenarios
• On the performance of West's bubble test: a simulation approach
• Asset pricing with dynamic programming
• The equity premium in consumption and production models
• Returns-to-scale and the equity premium puzzle

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