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Preference heterogeneity and asset prices: An exact solution

โœ Scribed by David Weinbaum

Book ID
116615584
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
369 KB
Volume
34
Category
Article
ISSN
0378-4266

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Exact solution of asset pricing models with arbitrary shock distributions
โœ Efthymios G Tsionas ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 119 KB

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