Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – Nikodym derivative which allows for a change in the probability measurable space....
- Autores:
-
Forero Laverde, Germán
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2011
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- eng
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7375
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7375
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
- Palabra clave:
- Equilibrium
arbitrage
stochastic discount factor
equity premium puzzle
applied microeconomics
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2