Showing 1 - 10 of 412
Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...
Persistent link: https://www.econbiz.de/10014337024
Persistent link: https://www.econbiz.de/10010239520
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10010250161
The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...
Persistent link: https://www.econbiz.de/10010212527
Persistent link: https://www.econbiz.de/10009705649
Persistent link: https://www.econbiz.de/10009672603
Persistent link: https://www.econbiz.de/10009685882
Persistent link: https://www.econbiz.de/10009666812
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...
Persistent link: https://www.econbiz.de/10010359861
Persistent link: https://www.econbiz.de/10010462159