Quasi mean reversion in an efficient stock market: the characterisation of economic equilibria which support Black-Scholes option pricing
Article Abstract:
Astudy was conducted to evaluate risk premium behavior in a market portfolio of risky assets. The study assumes that equity market return variance and risk free interest rate are maintained at constant levels for the development of a market risk premium. Results show that market portfolio risk premium should follow a non-linear partial differentiation equation called the Burgers' equation to establish equilibrium conditions.
Publication Name: Economic Journal
Subject: Economics
ISSN: 0013-0133
Year: 1993
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On the origin of convention: evidence from coordination games
Article Abstract:
An analysis of the origins of conventions using fictitious play on coordination reveals that labels and populations may be influenced in their formations. Empirical studies have shown that conventions may emerge from one population with labels and from two populations with no labels. The study aims to reveal the relationship between strategies and abstraction assumptions.
Publication Name: Economic Journal
Subject: Economics
ISSN: 0013-0133
Year: 1997
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- Abstracts: Trading forward in an imperfect market: the case of electricity in Britain. Spot market competition in the UK electricity industry
- Abstracts: The price/quantity sealed bid/offer auction with pro-rata rationing: experimental evidence. Rational cooperation in the finitely repeated prisoner's dilemma: experimental evidence