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Exact solution of asset pricing models with arbitrary shock distributions

โœ Scribed by Efthymios G Tsionas


Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
119 KB
Volume
27
Category
Article
ISSN
0165-1889

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โœฆ Synopsis


The paper provides an exact solution to standard asset pricing models for any distribution of shocks to endowment's growth rate. It determines the conditions that guarantee the existence of a stationary bounded equilibrium, and examines these conditions for an Edgeworth expansion distribution of the shocks. The results are extended to the case of multivariate asset pricing models.


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