Cost minimization and the stochastic discount factor

DOI10.1007/S10479-008-0469-0MaRDI QIDQ993732zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

uncertaintyproductionasset pricesarbitragestochastic returns

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1774203 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Large Sample Properties of Generalized Method of Moments Estimators
• Martingales and arbitrage in multiperiod securities markets
• 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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