Risk measurement in semimartingale models with multiple consumption goods

DOI10.1016/0022-0531(88)90011-7zbMath0639.90015OpenAlexW1991316370MaRDI QIDQ1100075

Dilip B. Madan

Publication date: 1988

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(88)90011-7

zbMATH Keywords

marginal utilitycoefficients of relative risk aversionconsumption-based asset pricing modelsemimartingale stochastic processesshare prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS ⋮ Asset pricing for general processes

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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