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

DOI10.1111/J.1467-9965.1993.TB00079.XMaRDI QIDQ4372001zbMATHOpenAlexFDO

Authors 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

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)

Recommendations

• Asset pricing for general processes
• Equilibrium asset and option pricing under jump diffusion
• Asset pricing with jump/diffusion permanent income shocks
• The Consumption-Based Capital Asset Pricing Model
• Hedging jump risk, expected returns and risk premia in jump-diffusion economies

Cites work

• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• A theory of the term structure of interest rates
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy with Habit Formation
• 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
• Equilibrium without uniform conditions
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Martingales and stochastic integrals in the theory of continuous trading
• Martingales on Jump Processes. I: Representation Results
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• On Square Integrable Martingales
• Optimum portfolio diversification in a general continuous-time model
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• The Consumption-Based Capital Asset Pricing Model
• The Price Equilibrium Existence Problem in Topological Vector Lattices

Cited in

(13)

• Jump-diffusion long-run risks models, variance risk premium, and volatility dynamics
• An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• scientific article; zbMATH DE number 1594549 (Why is no real title available?)
• Asset pricing with jump/diffusion permanent income shocks
• The equity premium in consumption and production models
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Small dimension PDE for discrete Asian options
• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• A note on an interpretation to consumption-based CAPM
• Estimating C-CAPM and the equity premium over the frequency domain
• The Consumption-Based Capital Asset Pricing Model
• Hedging jump risk, expected returns and risk premia in jump-diffusion economies

This page was built for publication: A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4372001)