Do CAPM results hold in a dynamic economy? A numerical analysis

DOI10.1016/S0165-1889(96)00014-0zbMath0901.90033MaRDI QIDQ1391662

W. Davis Dechert, Levent Akdeniz

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

projection methodsasset pricing modelsstochastic growth modelscomputational economics

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (5)

Asset pricing with loss aversion ⋮ Asset pricing with dynamic programming ⋮ On the performance of West's bubble test: a simulation approach ⋮ Risk and return in a dynamic general equilibrium model ⋮ The equity premium in Brock's asset pricing model

Cites Work

• Projection methods for solving aggregate growth models
• Computational economics and economic theory: Substitutes or complements?
• Time to Build and Aggregate Fluctuations
• Asset Prices in an Exchange Economy
• Common risk factors in the returns on stocks and bonds
• A note on a new class of solutions to dynamic programming problems arising in economic growth
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