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Existence And Uniqueness Of Equilibrium In Lucas Asset Pricing Model When Utility Is Unbounded
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Book Synopsis Existence and Uniqueness of Equilibrium in Lucas' Asset Pricing Model when Utility is Unbounded by : João Brogueira
Download or read book Existence and Uniqueness of Equilibrium in Lucas' Asset Pricing Model when Utility is Unbounded written by João Brogueira and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-type by : Luigi Montrucchio
Download or read book On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-type written by Luigi Montrucchio and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model by : Lars Tyge Nielsen
Download or read book Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model written by Lars Tyge Nielsen and published by . This book was released on 1986 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Existence and Uniqueness of Equilibrium in Nonoptimal Unbounded Infinite Horizon Economies by : Olivier F. Morand
Download or read book Existence and Uniqueness of Equilibrium in Nonoptimal Unbounded Infinite Horizon Economies written by Olivier F. Morand and published by . This book was released on 2002 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Economic Theory by : Pennsylvania
Download or read book Journal of Economic Theory written by Pennsylvania and published by . This book was released on 2001 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Existence of Equilibrium in the Classical Capital Asset Pricing Model by : Lars Tyge Nielsen
Download or read book Existence of Equilibrium in the Classical Capital Asset Pricing Model written by Lars Tyge Nielsen and published by . This book was released on 1986 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Fragilitiy of Bubbles in Equilibrium Asset Pricing Models of Lucas-type by : Luigi Montrucchio
Download or read book On Fragilitiy of Bubbles in Equilibrium Asset Pricing Models of Lucas-type written by Luigi Montrucchio and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-type by : Luigi Montrucchio
Download or read book On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-type written by Luigi Montrucchio and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1991 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Book Synopsis Asset Prices and Interest Rates in Cash-in-advance Models by : Alberto Giovannini
Download or read book Asset Prices and Interest Rates in Cash-in-advance Models written by Alberto Giovannini and published by . This book was released on 1989 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a method to solve and simulate cash-in-advance models of money and asset prices. The models are calibrated to US data spanning the period from 1890 to 1987 and are used to study some empirical regularities observed in the US data over this period. The phenomena which are the focus of the paper include the average level of stock returns and returns on nominal bonds, the covariation of realized real interest rates and real asset returns with inflation, and the ability of nominal interest rates to predict inflation and nominal stock returns.
Book Synopsis On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models by : Bradyn M. Breon-Drish
Download or read book On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models written by Bradyn M. Breon-Drish and published by . This book was released on 2015 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study a general class of noisy rational expectations models that nests the standard Grossman and Stiglitz (1980) and Hellwig (1980) models, but relaxes the usual assumption of joint normality of asset payoffs and supply, and allows for more general signal structures. I provide a constructive proof of existence of equilibrium, characterize the price function, and provide sufficient conditions for uniqueness within the class of equilibria with continuous price functions, which are met by both the Grossman and Stiglitz (1980) model and the Hellwig (1980) model with a continuum of investors. My solution approach does not rely on the typical "conjecture and verify" method, and I exhibit a number of non-normal examples in which asset prices can be characterized explicitly and in closed form. The results presented here open up a broad class of models for applied work. To illustrate the usefulness of generalizing the standard model, I show that in settings with non-normally distributed payoffs, shocks to fundamentals may be amplified purely due to learning effects, price drifts can arise naturally, and the disagreement-return relation depends in a novel way on return skewness.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Aanwinsten van de Centrale Bibliotheek (Queteletfonds) by : Bibliothèque centrale (Fonds Quetelet)
Download or read book Aanwinsten van de Centrale Bibliotheek (Queteletfonds) written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 2002 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Dynamic Asset Pricing by : Kenneth J. Singleton
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Book Synopsis Business Cycles and Equilibrium by : Fischer Black
Download or read book Business Cycles and Equilibrium written by Fischer Black and published by John Wiley & Sons. This book was released on 2009-11-02 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: An updated look at what Fischer Black's ideas on business cycles and equilibrium mean today Throughout his career, Fischer Black described a view of business fluctuations based on the idea that a well-developed economy will be continually in equilibrium. In the essays that constitute this book, which is one of only two books Black ever wrote, he explores this idea thoroughly and reaches some surprising conclusions. With the newfound popularity of quantitative finance and risk management, the work of Fischer Black has garnered much attention. Business Cycles and Equilibrium-with its theory that economic and financial markets are in a continual equilibrium-is one of his books that still rings true today, given the current economic crisis. This Updated Edition clearly presents Black's classic theory on business cycles and the concept of equilibrium, and contains a new introduction by the person who knows Black best: Perry Mehrling, author of Fischer Black and the Revolutionary Idea of Finance (Wiley). Mehrling goes inside Black's life to uncover what was occurring during the time Black wrote Business Cycles and Equilibrium, while also shedding light on what Black would make of today's financial and economic meltdown and how he would best advise to move forward. The essays within this book reach some interesting conclusions concerning the role of equilibrium in a developed economy Warns about the use and abuse of modeling Explains the risky business of risk in a straightforward and accessible style Contains chapters dedicated to "the effects of uncontrolled banking," "the trouble with econometric models," and "the effects of noise on investing" Includes commentary on Black's life and work at the time Business Cycles and Equilibrium was written as well as insight as to what Black would make of the current financial meltdown Engaging and informative, the Updated Edition of Business Cycles and Equilibrium will give you a better understanding of what is really going on during these uncertain and volatile financial times.
Book Synopsis Market Efficiency by : Andrew Wen-Chuan Lo
Download or read book Market Efficiency written by Andrew Wen-Chuan Lo and published by . This book was released on 1997 with total page 746 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Microfoundations of Financial Economics by : Yvan Lengwiler
Download or read book Microfoundations of Financial Economics written by Yvan Lengwiler and published by Princeton University Press. This book was released on 2006-05-07 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other. In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical shortcomings of the standard asset pricing models are extensively discussed, as is research from the last twenty years aimed at bringing theory in line with reality. The reader is brought up to date on the latest areas of concern, such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and the implications of prospect theory for asset pricing. Aimed at masters or Ph.D. students specializing in financial economics, the book can also be used as a supplementary text for students of macroeconomics at this advanced level and will be of interest to finance professionals with a background in economics and mathematics. It includes problems (with solutions), and an accompanying website provides supporting material for lecturers.
