In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

A simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical analysts, is studied. Fractions of these trader types, which are both boundedly rational, change over time according to evolutionary learning, with technical analysts conditioning their...

Das vorliegende Papier verfolgt, den empirischen Zusammenhang zwischen den realen Aktienmarktniveaus von Deutschland und den USA zur Aktienmarktprognose zu verwenden ...

Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.

This paper developes a model of optimal consumption and portfolio choice for infinitely-lived investors facing stochastic interest rates, solve it using an approximate analytical method, and evaluate the conventional wisdom.

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets.

This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.