Analytic solving of asset pricing models: the by force of habit case

DOI10.1016/J.JEDC.2007.12.008zbMath1181.91071OpenAlexW2026683922MaRDI QIDQ2654418

Thomas F. Cosimano, A. Alexandrou Himonas, Yu Chen

Publication date: 19 January 2010

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.12.008

zbMATH Keywords

asset pricinganalyticityhabit

Mathematics Subject Classification ID

Related Items (3)

Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem ⋮ Continuous time one-dimensional asset-pricing models with analytic price-dividend functions ⋮ External habit: anything goes

Cites Work

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• On high-order differentiability of the policy function
• Characterization of optimal plans for stochastic dynamic programs
• Rare Disasters and Asset Markets in the Twentieth Century*
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Smoothness of the Policy Function in Discrete Time Economic Models
• Accuracy of Numerical Solutions Using the Euler Equation Residuals
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• A note on some limitations of CRRA utility
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