Titlebook: Economic Foundation of Asset Price Processes; Erik Lüders Book 2004 Springer-Verlag Berlin Heidelberg 2004 Arbitrage.Asset Pricing.Financi

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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.

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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

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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..

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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

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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