The equity premium in Brock's asset pricing model

DOI10.1016/J.JEDC.2006.06.008zbMATH Open1163.91468OpenAlexW2019202016MaRDI QIDQ1027366FDOQ1027366

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

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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)

Cites Work

• 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
• Projection methods for solving aggregate growth models
• Recursive competitive equilibrium: a parametric example
• Title not available (Why is that?)
• A simple model of incomplete insurance The case of permanent shocks
• Inflation and Asset Prices in an Exchange Economy
• Do CAPM results hold in a dynamic economy? A numerical analysis
• 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
• Exploring general equilibrium. Foreword by Edward L. Glaeser.

Cited In (7)

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

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