Beyond the local mean-variance analysis in continuous time: The problem of non-normality
Year of publication: |
2015-02-23
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Authors: | Aase, Knut K. ; Lillestøl, Jostein |
Institutions: | Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) |
Subject: | Mean-variance analysis | Consumption based CAPM | Equilibrium real interest rate | The equity premium puzzle | jump-diffusions | Bi-variate Normal Inverse Gaussian distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Discussion Papers Number 2015/11 22 pages |
Classification: | D50 - General Equilibrium and Disequilibrium. General ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
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