Exact solution of asset pricing models with arbitrary shock distributions

✍ Scribed by Efthymios G Tsionas

• Publisher: Elsevier Science
• Year: 2003
• Tongue: English
• Weight: 119 KB
• Volume: 27
• Category: Article
• ISSN: 0165-1889
• DOI: 10.1016/s0165-1889(02)00017-9

✦ 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.