A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM

DOI10.1142/S0219024908005007zbMATH Open1185.91098OpenAlexW2073514200MaRDI QIDQ3606400FDOQ3606400

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

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

zbMATH Keywords

volatilityequilibriumasset price processrelative risk aversion coefficientrisk-premium

Mathematics Subject Classification ID

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

Cites Work

• The Malliavin Calculus and Related Topics
• Complete Models with Stochastic Volatility
• Title not available (Why is that?)
• 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

This page was built for publication: A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3606400)