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Asset pricing with stochastic differential utility 总被引:10,自引:0,他引:10
Asset pricing theory is presented with representative-agentutility given by a stochastic differential formulation of recursiveutility. Asset returns are characterized from general first-orderconditions of the Hamilton-Bellman-Jacobi equation for optimalcontrol. Homothetic representative agent recursive utility functionsare shown to imply that excess expected rates of return on securitiesare given by a linear combination of the continuous-time market-portfolio-basedcapital asset pricing model (CAPM) and the consumption-basedCAPM. The Cox, Ingersoll and Ross characterization of the termstructure is examined with a recursive generalization, showingthe response of the term structure to variations in risk aversion.Also, a new multicommodity factor-return model, as well as anextension of the 'usual' discounted expected value formula forasset prices, is introduced. 相似文献
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Leonard G. Schifrin 《Journal of economic issues》2013,47(1-2):129-131
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This serves as an introduction to this special issue devoted to a selection of papers chosen and revised from a conference on public policy entitled "Health Care Policy: Where Is the Revolution Headed?" sponsored by the Thomas Jefferson Program in Public Policy at the College of William and Mary, Williamsburg, VA, November 12-14, 1987. 相似文献
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