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Economic Foundation of Asset Price Processes
Engelsk Paperback
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Economic Foundation of Asset Price Processes
Engelsk Paperback

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In this book the relation between the characteristics of investors'' preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy.

Product detaljer
Sprog:
Engelsk
Sider:
121
ISBN-13:
9783790801491
Indbinding:
Paperback
Udgave:
ISBN-10:
3790801496
Kategori:
Udg. Dato:
3 feb 2004
Længde:
8mm
Bredde:
157mm
Højde:
232mm
Forlag:
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Oplagsdato:
3 feb 2004
Forfatter(e):
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