Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands
Article Abstract:
Closed form solutions to asset prices, consumption, and portfolio demands, which are derived from primitives such as endowments, dividend, and preference parameters are derived. The solutions are derived in a discrete-time infinite-horizon economy where several asset pricing and portfolio choice problems are studied.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Risk sensitive asset allocation
Article Abstract:
A continuous time modeling method for making optimal asset allocation decisions is presented.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Ramsey pricing and environmental regulation. Consumer's surplus: simple solutions to an old problem. Sequential generalized Lorenz dominance and transfer principles
- Abstracts: Pricing American-style securities using simulation. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- Abstracts: A note on closet--indexing. Subsistence consumption, habit formation and the demand for long-term bonds. The value of active portfolio management
- Abstracts: The value of tax shields is NOT equal to the present value of tax shields. The value of tax shields IS equal to the present value of tax shields