Economic Foundation of Asset Price Processes
Softcover reprint of the original 1st ed. 2004
Book Details
AI Summary
Delivery Location
Delivery fee: Select location
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.
Get Economic Foundation of Asset Price Processes by at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Springer-Verlag Berlin and Heidelberg GmbH & Co. KG and it has pages.
Discover books you might love based on this title.
More in This Genre
Dow Theory for the 21st Century
Ksh 9,000.00
Convertible Arbitrage
Ksh 10,450.00
The International Art Markets
Ksh 10,100.00
Option Volatility and Pricing: Advanced Trading Strategies and Techniques
Ksh 17,100.00
The Debt Trap (Student Edition)
Ksh 5,400.00
Corporate Law and the Theory of the Firm
Ksh 27,900.00
