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

DOI10.1016/J.JEDC.2004.02.002MaRDI QIDQ953753zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

incomplete marketsequity premiumlimited participationdividend betanon-traded labor income

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Approximate equilibrium asset prices
• Solving asset pricing models with stochastic volatility
• Solving asset pricing models with Gaussian shocks
• Exact solution of asset pricing models with arbitrary shock distributions
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns

Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• A Theory of Competitive Equilibrium in Stock Market Economies
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Equilibrium asset prices with undiversifiable labor income risk
• Exact solution of asset pricing models with arbitrary shock distributions
• Infinite Horizon Incomplete Markets
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Martingales and arbitrage in multiperiod securities markets
• Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
• Optimum consumption and portfolio rules in a continuous-time model
• Smart Money, Noise Trading and Stock Price Behaviour
• Solving asset pricing models with Gaussian shocks

Cited in

(3)

• Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle
• Approximate equilibrium asset prices
• Pricing long-lived securities in dynamic endowment economies

This page was built for publication: Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953753)