Analytic solving of asset pricing models: the by force of habit case

DOI10.1016/J.JEDC.2007.12.008MaRDI QIDQ2654418zbMATH OpenOpenAlexFDO

Authors Yu Chen, Thomas F. Cosimano, A. Alexandrou Himonas

Publication date 19 January 2010

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

Full work available at URL https://doi.org/10.1016/j.jedc.2007.12.008

zbMATH Keywords

analyticityasset pricinghabit

Mathematics Subject Classification ID

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• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(9)

• External habit: anything goes
• Asset pricing with dynamic programming
• The dynamic properties of solutions for a generalized Abel asset pricing model
• The well-posedness of solutions for a nonlinear generalized asset pricing model
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE
• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem
• Continuous time one-dimensional asset-pricing models with analytic price-dividend functions

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