Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands

DOI10.1016/J.JEDC.2004.02.002zbMATH Open1202.91105OpenAlexW2064986099MaRDI QIDQ953753FDOQ953753

Stefano G. Athanasoulis

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.02.002

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zbMATH Keywords

incomplete marketsequity premiumlimited participationdividend betanon-traded labor income

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• Title not available (Why is that?)
• Smart Money, Noise Trading and Stock Price Behaviour
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Infinite Horizon Incomplete Markets
• Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
• Equilibrium asset prices with undiversifiable labor income risk
• A Theory of Competitive Equilibrium in Stock Market Economies
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Solving asset pricing models with Gaussian shocks
• Exact solution of asset pricing models with arbitrary shock distributions

Cited In (1)

• Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle

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