Cost minimization and the stochastic discount factor

DOI10.1007/S10479-008-0469-0MaRDI QIDQ993732zbMATHOpenAlexFDO

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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