A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle

DOI10.1111/J.1467-9965.1993.TB00079.XzbMATH Open0884.90010OpenAlexW1973220547MaRDI QIDQ4372001FDOQ4372001

Knut Kristian Aase

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00079.x

Recommendations

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zbMATH Keywords

diffusion modelequity premium puzzlerisk premiumsjumps in consumption

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

Cites Work

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• Title not available (Why is that?)
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• On Square Integrable Martingales
• Equilibrium without uniform conditions
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Optimum portfolio diversification in a general continuous-time model
• Martingales on Jump Processes. I: Representation Results
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• The Consumption-Based Capital Asset Pricing Model
• Asset Prices in an Exchange Economy with Habit Formation
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis

Cited In (10)

• Small dimension PDE for discrete Asian options
• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• Asset pricing with jump/diffusion permanent income shocks
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• Title not available (Why is that?)
• Estimating C-CAPM and the equity premium over the frequency domain
• An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• A note on an interpretation to consumption-based CAPM
• The Consumption-Based Capital Asset Pricing Model

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