Add to ORKGThis paper provides a closed–form solution for the price–dividend ratio in a stan-dard asset pricing model with habit formation when the growth rate of endowment is a first–order Gaussian autoregression. It determines conditions that guarantee the existence of a stationary bounded equilibrium and positivity of prices
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuou...
This paper introduces a utility function that nests three classes of utility functions: (1) time-sep...
Abstract: The study of asset price characteristics of stochastic growth models such as the risk-free...
This paper provides a closed-form solution to a standard asset pricing model with habit formation wh...
This paper provides a closed-form solution to a standard asset pricing model with habit formation wh...
This paper develops a capital asset pricing model a ̀ la Lucas with habit formation when the growth ...
Analytic methods for solving asset pricing models are developed to solve asset pricing models. Campb...
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing ...
This paper analyzes asset prices in a representative agent exchange economy with habit-forming prefe...
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing ...
In this paper we derive an approximate analytical solution to the optimal con-sumption and portfolio...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
This paper constructs a general equilibrium model where asset price fluctuations are caused by rando...
This paper introduces the money into OLG framework with assuming habit formation. We show that still...
In this paper we derive an approximate analytical solution to the optimal con-sumption and portfolio...
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuou...
This paper introduces a utility function that nests three classes of utility functions: (1) time-sep...
Abstract: The study of asset price characteristics of stochastic growth models such as the risk-free...
This paper provides a closed-form solution to a standard asset pricing model with habit formation wh...
This paper provides a closed-form solution to a standard asset pricing model with habit formation wh...
This paper develops a capital asset pricing model a ̀ la Lucas with habit formation when the growth ...
Analytic methods for solving asset pricing models are developed to solve asset pricing models. Campb...
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing ...
This paper analyzes asset prices in a representative agent exchange economy with habit-forming prefe...
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing ...
In this paper we derive an approximate analytical solution to the optimal con-sumption and portfolio...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
This paper constructs a general equilibrium model where asset price fluctuations are caused by rando...
This paper introduces the money into OLG framework with assuming habit formation. We show that still...
In this paper we derive an approximate analytical solution to the optimal con-sumption and portfolio...
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuou...
This paper introduces a utility function that nests three classes of utility functions: (1) time-sep...
Abstract: The study of asset price characteristics of stochastic growth models such as the risk-free...