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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
We introduce a new class of flexible and tractable matrix a±ne jump-diffusions (AJD) to modelmultivariate sources of financial risk. We first provide a complete transform analysis of this model class,which opens a range of new potential applications to, e.g., multivariate option pricing with...
Persistent link: https://www.econbiz.de/10009248844
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Aggregation and convergence in experimental general equilibrium economies constructed from naturally occurring preferences
Crockett, Sean; Friedman, Daniel; Oprea, Ryan - 2017
Prior laboratory experiments have studied general equilibrium economies constructed from “induced preferences” for artificial goods. We introduce new methods that allow us to study economies constructed instead from subjects' actual, “homegrown" preferences. Our subjects reveal their...
Persistent link: https://www.econbiz.de/10012013804
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A Concave Security Market Line
De Giorgi, Enrico G.; Post, Thierry; Yalcin, Atakan - 2012
We provide theoretical and empirical arguments in favor of a concave shape for the security market line, or a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, different investors generally hold different sets of risky securities....
Persistent link: https://www.econbiz.de/10010500211
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On the general impossibility of persistent unequal exchange free trade equilibria in the pre-industrial world economy
Kaneko, Soh; Yoshihara, Naoki - 2019
This paper analyzes the persistency of the unequal exchange of labor (UE) in international trade. An intertemporal model of a world economy is defined with a leisure preference and no discount factor. Every incompletely specialized free trade equilibrium is characterized as having non-persistent...
Persistent link: https://www.econbiz.de/10012059913
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A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic
Han, Qian; Turvey, Calum G. - 2013
We derive a general equilibrium linear relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options. The relation is robust as it is valid for both endowment and production economies, and for...
Persistent link: https://www.econbiz.de/10010892111
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...
Persistent link: https://www.econbiz.de/10009022140
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Two Paradigms and Nobel Prizes in Economics : A Contradiction or Coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year 2002, Kahneman won the Nobel Prize in Economics for the … development of Prospect Theory. Can these two apparently contradictory paradigms coexist? In deriving the CAPM, Sharpe, Lintner … wealth rather than total wealth contradicts EU theory. The subjective distortion of probabilities violates the CAPM …
Persistent link: https://www.econbiz.de/10005858578
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An Evolutionary Explanation of the Value Premium Puzzle
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Woehrmann, … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
corresponding regression line determined in our empirical study beats the security market line (SML) of the CAPM in the goodness of …
Persistent link: https://www.econbiz.de/10005858582
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Prospect Theory and the CAPM : A contradiction or coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992)is consistent with the Capital Asset Pricing Model. We find that in everyfinancial market equilibrium the Security Market Line Theorem holds.However, under the...
Persistent link: https://www.econbiz.de/10005858756
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Bubbles and multiplicity of equilibria under portfolioconstraints
Hugonnier, Julien - Finrisk - 2008
This article shows that, as long as agents are required to maintain positivewealth, the presence of portfolio constraints may give rise to asset pricingbubbles in equilibrium even if there are unconstrained agents in the economywho can benefit from the induced arbitrage opportunity. Furthermore,...
Persistent link: https://www.econbiz.de/10005868914