Equilibrium asset pricing: with non-Gaussian factors and exponential utilities

DOI10.1080/14697680600804437MaRDI QIDQ3437403zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan

Publication date 9 May 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680600804437

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A risky asset model with strong dependence through fractal activity time
• Financial data and the skewed generalized \(t\) distribution
• Hyperbolic distributions in finance
• Option Pricing With V. G. Martingale Components¹
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Processes of normal inverse Gaussian type

Cited in

(14)

• Mixed tempered stable distribution
• Modeling high-frequency financial data by pure jump processes
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
• scientific article; zbMATH DE number 5499205 (Why is no real title available?)
• Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures
• General theory of geometric Lévy models for dynamic asset pricing
• Portfolio choice with jumps: a closed-form solution
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• Asset price volatility in a nonconvex general equilibrium model
• Testing for pure-jump processes for high-frequency data
• Towards a generalization of Dupire's equation for several assets
• Asset pricing with a forward--backward stochastic differential utility
• Three non-Gaussian models of dependence in returns
• EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION

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