Add to ORKGIn a continuous-time representative investor economy with an exogenously given information process, asset prices are derived for alternative characterizations of the pricing kernel. In addition to the characterization of forward prices in a general representative investor economy a detailed analysis of forward prices for the HARA-class is given. In particular, analytical and numerical solutions of forward prices are derived for a representative investor with non-constant relative risk aversion. The derived asset prices are consistent with empirically well documented characteristics as mean reversion and random volatility. Hence, they are viable alternatives to the geometric Brownian motion
This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return char...
In this paper analytical solutions for European option prices are derived for a class of rather gene...
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with g...
In a continuous-time representative investor economy with an exogenously given information process, ...
Asset price processes are completely described by information processes and investors´ preferences. ...
This paper proposes an econometric procedure that allows the estimation of the pricing kernel withou...
Asset price processes are completely described by information processes and investors' preferences. ...
We assume an economy with the representative agent that faces, in addition to the \u85nancial invest...
This paper builds on existing asset pricing models in an intertemporal capital asset pricing model f...
This paper derives an equilibrium asset price when there exist three kinds of traders in financial m...
We derive a lower bound for the volatility of the permanent component of investors’ marginal utility...
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each inves...
Continuous time financial models assume that the state vector which characterizes the instantaneous ...
This paper investigates the preference restrictions which underlie the Black-Scholes (log-normal), B...
Yielding new insights into important market phenomena like asset price bubbles and trading constrain...
This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return char...
In this paper analytical solutions for European option prices are derived for a class of rather gene...
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with g...
In a continuous-time representative investor economy with an exogenously given information process, ...
Asset price processes are completely described by information processes and investors´ preferences. ...
This paper proposes an econometric procedure that allows the estimation of the pricing kernel withou...
Asset price processes are completely described by information processes and investors' preferences. ...
We assume an economy with the representative agent that faces, in addition to the \u85nancial invest...
This paper builds on existing asset pricing models in an intertemporal capital asset pricing model f...
This paper derives an equilibrium asset price when there exist three kinds of traders in financial m...
We derive a lower bound for the volatility of the permanent component of investors’ marginal utility...
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each inves...
Continuous time financial models assume that the state vector which characterizes the instantaneous ...
This paper investigates the preference restrictions which underlie the Black-Scholes (log-normal), B...
Yielding new insights into important market phenomena like asset price bubbles and trading constrain...
This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return char...
In this paper analytical solutions for European option prices are derived for a class of rather gene...
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with g...