Cost minimization and the stochastic discount factor

DOI10.1007/S10479-008-0469-0zbMATH Open1233.91219OpenAlexW2045758572MaRDI QIDQ993732FDOQ993732

Authors: Robert G. Chambers, J. Quiggin 

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0469-0

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zbMATH Keywords

uncertaintyproductionasset pricesarbitragestochastic returns

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
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• Martingales and arbitrage in multiperiod securities markets
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• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Narrowing the no-arbitrage bounds
• The valuation problem in arbitrage price theory

Cited In (2)

• A nonparametric approach to stochastic discount factor estimation
• Stochastic discounting

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