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On Euler-Equation Restrictions on the Temporal Behavior of Asset Returns (Classic Reprint) - Softcover
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Excerpt from On Euler-Equation Restrictions on the Temporal Behavior of Asset Returns
Much of the current thinking in finance concerning the pricing of risky assets has its origin in Markowitz's [1952] analysis of the techniques for constructing mean - variance efficient portfolios of those assets. Sharpe Lintner and Mossin [1966] all realized that a market-clearing equilibrium in which investors hold mean-variance efficient portfolios, as they will do if asset returns are normally distributed and/or if their utility functions are quadratic (tobin implies a model for pricing the risk of any individual asset.
Merton [1971] showed that as long as investors can trade frequently, and in the limit continuously, the sharpe-lintner-mossin model holds for 331 concave utility function if asset returns are lognormally distributed. If the distribution of asset returns is not lognormal, but shifts around over time, Merton [1973] extended his analysis to show that the risk of any individual asset can still be priced, for any concave utility function, in terms of a set of mutual funds whose composition does not depend on investor preferences. Ross [1976, 1977] proved that if asset returns are assumed to be generated by a linear factor model, then the risk premium for any asset will be related to its factor risk and non-asset-specific factor risk premiums.
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On Euler-Equation Restrictions on the Temporal Behavior of Asset Returns
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Paperback. Zustand: New. Print on Demand. This book delves into the Euler Equation, a cornerstone of finance theory, and its implications for understanding asset returns and their relationship to elements like consumption. The author argues that the Euler Equation, while a useful tool, has limitations, and that its application to asset pricing models can lead to flawed assumptions. This is because these models often rely on unrealistic utility functions and a representative individual whose preferences can be standardized. The author also maintains that consumption data may not be a reliable indicator of marginal utility changes, especially for those not actively participating in financial markets. The book argues for alternative approaches to asset pricing models that focus on observed changes in speculative prices and their relationship to nonspeculative price variables. Ultimately, the author's insights challenge the notion that asset prices can be solely explained by the Euler Equation and consumption, expanding the understanding of asset pricing behavior. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Bestandsnummer des Verkäufers 9781332272945_0
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On EulerEquation Restrictions on the Temporal Behavior of Asset Returns Classic Reprint
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PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000. Bestandsnummer des Verkäufers LW-9781332272945
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On EulerEquation Restrictions on the Temporal Behavior of Asset Returns Classic Reprint
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PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000. Bestandsnummer des Verkäufers LW-9781332272945
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On Euler-Equation Restrictions on the Temporal Behavior of Asset Returns (Classic Reprint)
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Zustand: Sehr gut. Zustand: Sehr gut | Seiten: 52 | Sprache: Englisch | Produktart: Bücher | Keine Beschreibung verfügbar. Bestandsnummer des Verkäufers 26067710/2
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