A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM

DOI10.1142/S0219024908005007MaRDI QIDQ3606400zbMATH OpenOpenAlexFDO

Authors Jun Sekine

Publication date 26 February 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024908005007

zbMATH Keywords

volatilityequilibriumasset price processrelative risk aversion coefficientrisk-premium

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
• An economic premium principle in a multiperiod economy.
• AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model

Cites work

• scientific article; zbMATH DE number 1253576 (Why is no real title available?)
• Complete Models with Stochastic Volatility
• The Malliavin Calculus and Related Topics
• The Malliavin calculus and its application to second order parabolic differential equations: Part I

Cited in

(3)

• Risk-neutral economy and zero price of risk
• A two price theory of financial equilibrium with risk management implications
• Drift and the risk-free rate

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