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Economic Foundation of Asset Price Processes by Erik Paul Luders
Economic Foundation of Asset Price Processes by Erik Paul Luders
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Economic Foundation of Asset Price Processes

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Description

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.
Release date NZ
February 3rd, 2004
Audiences
  • Professional & Vocational
  • Tertiary Education (US: College)
Edition
Softcover reprint of the original 1st ed. 2004
Illustrations
8 Illustrations, black and white; XII, 121 p. 8 illus.
Pages
121
Dimensions
155x235x7
ISBN-13
9783790801491
Product ID
2042032

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