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Summary

  • Erik Lüders
Part of the ZEW Economic Studies book series (ZEW, volume 24)

Abstract

The purpose of this study is to provide an economic foundation for asset price processes and to derive economically motivated time-series models as alternatives to the empirically motivated time-series models The analysis is based on the fact that asset prices are completely determined by the information process and the pricing kernel The information process may be interpreted as characterizing a representative investor’s expectations while the pricing kernel equals the standardised marginal utility function of the representative investor in such an economy For example, the geometric Brownian motion as a model for the behaviour of asset prices implies that the pricing kernel has constant elasticity and that the information process is also governed by a geometric Brownian motion These relationships were explained in Chaps 2 and 3 In Chap 4 the literature was reviewed in the light of these relationships.

Keywords

Asset Price Stochastic Volatility Asset Return Geometric Brownian Motion Terminal Wealth 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Erik Lüders
    • 1
  1. 1.Dépt. de Finance et Assurance Pavillon Palais-PrinceUniversité LavalQuébec (Quebec)Canada

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