2 edition of Approximate equilibrium asset prices found in the catalog.
Approximate equilibrium asset prices
|Statement||Fernando Restoy, Philippe Weil.|
|Series||NBER working paper series -- working paper 6611, Working paper series (National Bureau of Economic Research) -- working paper no. 6611.|
|Contributions||Weil, Philippe., National Bureau of Economic Research.|
|The Physical Object|
|Pagination||26 p. ;|
|Number of Pages||26|
While there are several algorithms that compute prices and allocations for which agents— first-order conditions are approximately satisfied (“approximate equilibria”), there are few results on h interpret the errors in these candidate solutions and how to relate the computed allocations and prices to exact equilibrium allocations and by: Ch. Asset Prices', Consumption, and the Business Cycle to assume a large,t, that is, a volatile dividend, increasing)~, however, has mixed effects; it increases the volatility of the first term in Equation (38) proportionally, but as long as '1 Cited by:
Quantitative Macroeconomic Models with Heterogeneous Agents We show here that for asset pricing—in particular, the only (approximate) equilibrium or, perhaps more fundamentally, whether the approximate equilibrium is actually close to an exact by: Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade". Its concern is thus the interrelation of financial variables, such as prices, interest rates and shares, as opposed to those concerning the real has two main areas of focus: asset pricing and. Asset Prices: Basic Models and Tests logic, and especially also the limitations of equilibrium asset pricing theory (defined below) independently provide proofs of some of the propositions related to asset pricing that are covered in the text book; • An approximate model with varying RRA and general distributions • Test.
The capital asset pricing model is used to calculate the effect of increase in prices of capital assets due to inflation. FALSE The Gordon model assumes that the value of a share of stock equals the future value of the current price of share that it is expected to remain constant over an infinite time horizon. Prices in a Single-period Setting Topics: 1. Law of One Price and asset returns 2. No arbitrage and asset returns. 3. Stochastic discount factors. 4. Complete versus incomplete markets. 5. Mean-variance frontiers for returns. 6. Beta representations for returns. 7. Relations between discount factors, mean-variance frontiers, and Betas. Size: KB. not require the concept of a risk free asset and agents are able to form demands for an arbitrary number of assets with arbitrary covariance structure. We derive an optimisation problem for computing approximate equilibrium prices that clear our market and then show our market is able to faithfully reproduce many realAuthor: Daniel Cooke, Daniel Kuhn.
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SyntaxTextGen not activated A related literature that studies asset prices in pdf economies has primarily focused on aggregate shocks that pdf in the real sector, for example, aggregate productivity shocks, investment-specific shocks (e.g., Kogan and Papanikolaou) and adjustment cost shocks (e.g., Belo, Lin, and Bazdresch ), or shocks that Author: Frederico Belo, Xiaoji Lin, Fan Yang.download pdf The NBER's Program on Asset Pricing met in Cambridge on November 3.
and Viceira show how the predictability of asset returns can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption it can support.
The authors develop an approximate solution method for the optimal consumption-and. Capital Asset Ebook A Theory of Market Equilibrium Under Conditions of Risk William F. Sharpe The Journal of Finance September 5.
CAPM: Sharpe’s Version Sharpe () in his paper ‘Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk’ built upon the Modern Portfolio Theory of Markowitz.