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

DOI10.1080/14697680600804437zbMATH Open1134.91448OpenAlexW3121651384MaRDI QIDQ3437403FDOQ3437403

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

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Mathematics Subject Classification ID

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

Cites Work

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

Cited In (14)

• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION
• Title not available (Why is that?)
• Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
• Asset pricing with a forward--backward stochastic differential utility
• Asset price volatility in a nonconvex general equilibrium model
• Three non-Gaussian models of dependence in returns
• Testing for pure-jump processes for high-frequency data
• Mixed tempered stable distribution
• General theory of geometric Lévy models for dynamic asset pricing
• Towards a generalization of Dupire's equation for several assets
• Portfolio choice with jumps: a closed-form solution
• Modeling high-frequency financial data by pure jump processes

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