Stochastic equilibrium discounting (Q1094310)
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scientific article; zbMATH DE number 4025115
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic equilibrium discounting |
scientific article; zbMATH DE number 4025115 |
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Stochastic equilibrium discounting (English)
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1987
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This paper considers the determination of equilibrium asset prices in an infinite-horizon diffusion model of an exchange economy. It is shown that asset prices can be expressed as properly weighted sums of asset payouts. Equilibrium properties are also investigated under the assumption that the state of the economy follows its invariant distribution.
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equilibrium asset prices
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infinite-horizon diffusion model
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exchange economy
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