Cost minimization and the stochastic discount factor

DOI10.1007/S10479-008-0469-0zbMath1233.91219OpenAlexW2045758572MaRDI QIDQ993732

John Quiggin, Robert G. Chambers

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0469-0

zbMATH Keywords

uncertaintyproductionarbitrageasset pricesstochastic returns

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• The valuation problem in arbitrage price theory
• Martingales and arbitrage in multiperiod securities markets
• Narrowing the no-arbitrage bounds
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

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