IDEAS home Printed from https://ideas.repec.org/p/bol/bodewp/537.html

A suggestion for simplifying the theory of asset prices

Author

Listed:
  • R. Cesari
  • C. D'Adda

Abstract

Using an ordinal approach to utility, in the spirit of Hicks (1962, 1967a), it is possible to greatly simplify the theory of asset prices. The basic assumption is to summarize any probability distribution into its moments so that preferences over distributions can be mapped into preferences over vectors of moments. This implies that assets, like Lancaster s (1966) consumption goods, are bundles of characteristics and can be directly priced, at the margin, in terms of the market portfolio. Expected utility is not required and both St.Petersburg and Allais paradoxes may be easily solved.

Suggested Citation

  • R. Cesari & C. D'Adda, 2005. "A suggestion for simplifying the theory of asset prices," Working Papers 537, Dipartimento Scienze Economiche, Universita' di Bologna.
    • Handle: RePEc:bol:bodewp:537
    as

    Download full text from publisher

    File URL: http://amsacta.unibo.it/4753/1/537.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hicks, J. R., 1979. "Critical Essays in Monetary Theory," OUP Catalogue, Oxford University Press, number 9780198284239.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mauro Boianovsky, 2004. "The IS-LM Model and the Liquidity Trap Concept: From Hicks to Krugman," History of Political Economy, Duke University Press, vol. 36(5), pages 92-126, Supplemen.
    2. Lars Jonung, 2002. "EMU and the Euro - The First Ten Years. Challenges to the sustainability and price stability of the euro area - what does history tell us?," EUI-RSCAS Working Papers 46, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
    3. Buiter, Willem, 2007. "Is Numérairology the Future of Monetary Economics? Unbundling Numéraire and Medium of Exchange Through a Virtual Currency and," CEPR Discussion Papers 6099, C.E.P.R. Discussion Papers.
    4. Giuseppe Fontana, 2006. "The 'New Consensus' View of Monetary Policy: A New Wicksellian Connection?," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 3(2), pages 263-278.
    5. Coenen Günter & Orphanides Athanasios & Wieland Volker, 2004. "Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-25, February.
    6. George Bitros, 2008. "Why the structure of capital and the useful lives of its components matter: A test based on a model of Austrian descent," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 21(4), pages 301-328, December.
    7. Giorgio Fagiolo & Paul Windrum & Alessio Moneta, 2006. "Empirical Validation of Agent Based Models: A Critical Survey," LEM Papers Series 2006/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    8. Mitsuru Iwamura & Takeshi Kudo & Tsutomu Watanabe, 2005. "Monetary and fiscal policy in a liquidity trap: the Japanese experience 1999-2004," Proceedings, Federal Reserve Bank of San Francisco.
    9. Jonas Fischer & Lars Jonung & Martin Larch, 2007. "101 Proposals to reform the Stability and Growth Pact. Why so many? A Survey," European Economy - Economic Papers 2008 - 2015 267, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    10. Goetz von Peter, 2003. "A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises," Macroeconomics 0312006, University Library of Munich, Germany.
    11. Okina, Kunio & Shirakawa, Masaaki & Shiratsuka, Shigenori, 1999. "Financial Market Globalization: Present and Future," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(3), pages 1-40, December.
    12. Davradakis, Emmanouil & Santos, Ricardo, 2019. "Blockchain, FinTechs and their relevance for international financial institutions," EIB Working Papers 2019/01, European Investment Bank (EIB).
    13. Mitsuru Iwamara & Takeshi Kudo & Tsutomu Watanabe, 2005. "Monetary and Fiscal Policy in a Liquidity Trap: The Japanese Experience 1999-2004," NBER Working Papers 11151, National Bureau of Economic Research, Inc.
    14. Antoin Murphy, 2003. "Paper credit and the multi-personae Mr. Henry Thornton," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 10(3), pages 429-453.
    15. Eric Tymoigne, 2006. "An Inquiry into the Nature of Money: An Alternative to the Functional Approach," Economics Working Paper Archive wp_481, Levy Economics Institute.
    16. Theodore Burczak, 2001. "Profit Expectations and Confidence: Some unresolved issues in the Austrian/Post-Keynesian debate," Review of Political Economy, Taylor & Francis Journals, vol. 13(1), pages 59-80.
    17. Gilles Dostaler, 2001. "La genèse et l’évolution de la théorie des cycles de Hayek," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 207-230.
    18. Gilles Dostaler, 2001. "De J.R. à John ou les métamorphoses de Hicks: éléments de biographie intellectuelle," Cahiers de recherche du Département des sciences économiques, UQAM 20-08, Université du Québec à Montréal, Département des sciences économiques.
    19. Eli Spiegelman & George Spiegelman & Jonah Spiegelman, 2007. "Money as Social Exergy," Journal of Bioeconomics, Springer, vol. 9(3), pages 265-277, December.
    20. W.H. Buiter, 2007. "Is Numérairology the Future of Monetary Economics? Unbundling numéraire and medium of exchange through a virtual currency and a shadow exchange rate," CEP Discussion Papers dp0776, Centre for Economic Performance, LSE.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bol:bodewp:537. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dipartimento Scienze Economiche, Universita' di Bologna (email available below). General contact details of provider: https://edirc.repec.org/data/sebolit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.