Author: Skander Joannes Van den HeuvelPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
Temporal Risk Aversion and Asset Prices
Author: Skander Joannes Van den HeuvelPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
Risk Aversion and the Intertemporal Behavior of Asset Prices
Author: Richard C. StapletonExplaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution
Author: Risk aversion and intertemporal substitution in the capital asset pricing model
Author: Alberto GiovanniniApproximate Equilibrium Asset Prices
Author: Fernando RestoyPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 40
Book Description
Risk Aversion and the Intertemporal Behaviour of Asset Prices
Author: Richard C. StapletonPublisher:
ISBN:
Category : Speculation
Languages : en
Pages : 39
Book Description
Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model
Author: Philippe WeilPublisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1.
Asset Pricing Theory
Author: Costis SkiadasPublisher: Princeton University Press
ISBN: 1400830141
Category : Business & Economics
Languages : en
Pages : 363
Book Description
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Risk Aversion and the Structure of Asset Prices
Author: Robert Rudolph GrauerPublisher:
ISBN:
Category :
Languages : en
Pages : 448
Book Description
Risk Aversion and Asset Prices
Author: Epstein, Larry GPublisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 23
Book Description