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.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
United States, Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Asset Valuation & Distribution, Analysis, Asset valuation
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
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Risk sensitive asset allocation
Article Abstract:
A continuous time modeling method for making optimal asset allocation decisions is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
Economic aspects, Portfolio management
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
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