A martingale theory of asset pricing in a production economy

DOI10.1016/0165-4896(90)90002-OzbMATH Open0715.90026OpenAlexW2059841513MaRDI QIDQ751966FDOQ751966

Authors: Parantap Basu 

Publication date: 1990

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-4896(90)90002-o

Recommendations

• An Intertemporal General Equilibrium Model of Asset Prices
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• Valuation and martingale properties of shadow prices: an exposition
• The Consumption-Based Capital Asset Pricing Model
• A martingale characterization of equilibrium asset price processes

zbMATH Keywords

capital accumulationasset pricingproduction economymartingale valuation equation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Cites Work

• Asset Prices in an Exchange Economy
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited In (5)

• The volatility of asset prices in a stochastic production economy
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Production and the Real Rate of Interest: A Sample Path Equilibrium
• Production and the Real Rate of Interest: A Sample Path Equilibrium
• Continuous-time asset pricing theory. A martingale-based approach

This page was built for publication: A martingale theory of asset pricing in a production economy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q751966)