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The implied liquidity premium for equities

✍ Scribed by Robert Fernholz; Ioannis Karatzas


Publisher
Springer
Year
2005
Tongue
English
Weight
167 KB
Volume
2
Category
Article
ISSN
1614-2446

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πŸ“œ SIMILAR VOLUMES


Equity premium and consumption sensitivi
✍ Gregory C. Chow; Lihui Zheng πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 127 KB

Introducing one additional element due to possible misfortune to the return of each of two assets in the basic model of Samuelson (Rev. Econom. Statist. 51 (1969) 239) on optimum portfolio and consumption decisions, this paper resolves both the excess equity premium and the excess consumption sensit