Economic Foundation of Asset Price Processes
Language: English
Published by Physica-Verlag HD Feb 2004, 2004
- Softcover
- New
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000
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This item is printed on demand - Print on Demand Titel. Neuware -In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are 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 models these 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.Physica Verlag, Tiergartenstr. 17, 69121 Heidelberg 136 pp. Englisch.
Seller Inventory # 9783790801491
- Title
- Economic Foundation of Asset Price Processes
- Author
- Erik Paul Lüders
- Publisher
- Physica-Verlag HD Feb 2004
- Publication year
- 2004
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3790801496
- ISBN 13
- 9783790801491
- Item weight
- 219 grams
- Dimensions
- 235x155x8 mm
In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed.
"Synopsis" may belong to another edition of this title.
From the Back Cover
In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are 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 models these 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.
"About the title" may belong to another edition of this title.
buchversandmimpf2000
Emtmannsberg, BAYE, Germany
AbeBooks seller since January 23, 2017
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