旧石器时代
发表于 2025-3-25 04:25:23
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娴熟
发表于 2025-3-25 11:10:41
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Mingle
发表于 2025-3-25 12:13:39
Analytical Asset Price Processes,ernel We begin with a new class of pricing kernels Its advantage is that although these pricing kernels generate analytical asset prices, they are relatively flexible and not restricted to constant elasticity Later, we will also derive analytical asset prices which are consistent with HARA-utility.
包租车船
发表于 2025-3-25 19:38:56
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inscribe
发表于 2025-3-25 20:56:02
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V切开
发表于 2025-3-26 00:55:08
Book 2004It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these
安抚
发表于 2025-3-26 04:48:51
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osteocytes
发表于 2025-3-26 12:20:15
Book 2004 processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy..
hypotension
发表于 2025-3-26 13:50:13
1615-6781 analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series mo
osteopath
发表于 2025-3-26 19:01:49
1615-6781 ity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy..978-3-7908-0149-1978-3-7908-2660-9Series ISSN 1615-6781 Series E-ISSN 1867-2027