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....

Full description

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