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Economic Foundation of Asset Price Processes
Engelsk
Bogcover for Economic Foundation of Asset Price Processes af Erik Paul Luders, 9783790801491
Specifikationer
Sprog:
Engelsk
Sider:
121
ISBN-13:
9783790801491
Indbinding:
Paperback
ISBN-10:
3790801496
Kategori:
Udg. Dato:
3 feb 2004
Størrelse i cm:
23,2 x 15,7 x 0,8
Oplagsdato:
3 feb 2004
Forfatter(e):

Economic Foundation of Asset Price Processes

Engelsk
Format:

Bog beskrivelse

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.

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Specifikationer
Sprog:
Engelsk
Sider:
121
ISBN-13:
9783790801491
Indbinding:
Paperback
ISBN-10:
3790801496
Kategori:
Udg. Dato:
3 feb 2004
Størrelse i cm:
23,2 x 15,7 x 0,8
Oplagsdato:
3 feb 2004
Forfatter(e):
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