A martingale characterization of equilibrium asset price processes
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- Ali Lazrak & J. P. Décamps, 2000. "A martingale characterization of equilibrium asset price processes," Post-Print hal-00485724, HAL.
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- Ang, Andrew & Liu, Jun, 2007.
"Risk, return, and dividends,"
Journal of Financial Economics,
Elsevier, vol. 85(1), pages 1-38, July.
- Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
- Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
- Lazrak, Ali & Zapatero, Fernando, 2004.
"Efficient consumption set under recursive utility and unknown beliefs,"
Journal of Mathematical Economics,
Elsevier, vol. 40(1-2), pages 207-226, February.
- Ali Lazrak & Fernando Zapatero, 2002. "Efficient Consumption Set Under Recursive Utility and Unknown Beliefs," Research Paper Series 85, Quantitative Finance Research Centre, University of Technology, Sydney.
- Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
More about this item
KeywordsMarkovian diffusion price process; Equilibrium; Partial differential equation; Martingale.;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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