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Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands

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  • Athanasoulis, Stefano G.
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 29 (2005)
    Issue (Month): 3 (March)
    Pages: 423-447

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    Handle: RePEc:eee:dyncon:v:29:y:2005:i:3:p:423-447

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    3. Tsionas, Efthymios G., 2003. "Exact solution of asset pricing models with arbitrary shock distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 843-851, March.
    4. Kyle, Albert & Campbell, John, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Scholarly Articles 3208217, Harvard University Department of Economics.
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    7. Steven J. Davis & Paul Willen, 2000. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," CRSP working papers 523, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    8. Steven J. Davis & Jeremy Nalewaik & Paul Willen, 2000. "On the Gains to International Trade in Risky Financial Assets," NBER Working Papers 7796, National Bureau of Economic Research, Inc.
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    10. Avery, Robert B & Elliehausen, Gregory E & Kennickell, Arthur B, 1988. "Measuring Wealth with Survey Data: An Evaluation of the 1983 Survey of Consumer Finances," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 34(4), pages 339-69, December.
    11. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
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    13. Grossman, Sanford J. & Shiller, Robert J., 1982. "Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information," Journal of Financial Economics, Elsevier, vol. 10(2), pages 195-210, July.
    14. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
    15. John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
    16. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
    17. S. Rao Aiyagari & Mark Gertler, 1990. "Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise," NBER Working Papers 3481, National Bureau of Economic Research, Inc.
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    22. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March.
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    25. Allen, Franklin & Gale, Douglas, 1994. "Limited Market Participation and Volatility of Asset Prices," American Economic Review, American Economic Association, vol. 84(4), pages 933-55, September.
    26. Caballero, R.J., 1988. "Consumption Puzzles And Precautionary Savings," Discussion Papers 1988_05, Columbia University, Department of Economics.
    27. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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    31. Campbell, John Y & Grossman, Sanford J & Wang, Jiang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 905-39, November.
    32. Caballero, Ricardo J, 1991. "Earnings Uncertainty and Aggregate Wealth Accumulation," American Economic Review, American Economic Association, vol. 81(4), pages 859-71, September.
    33. MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
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    36. Wang, Jiang, 1993. "A Model of Intertemporal Asset Prices under Asymmetric Information," Review of Economic Studies, Wiley Blackwell, vol. 60(2), pages 249-82, April.
    37. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
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    Cited by:
    1. In, Francis & Yoon, Jai Hyung, 2007. "Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2637-2658, August.
    2. sunanda roy, 2007. "On price uncertainty, nominal assets and uninsurable idiosyncratic risks," Economics Bulletin, AccessEcon, vol. 4(32), pages 1-17.
    3. sunanda roy, 2005. "Asset prices and capital accumulation in a monetary economy with incomplete markets," GE, Growth, Math methods 0508002, EconWPA.
    4. repec:ebl:ecbull:v:4:y:2007:i:32:p:1-17 is not listed on IDEAS

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