Exact solution of asset pricing models with arbitrary shock distributions
type: Item
instance of: scholarly article
title: Exact solution of asset pricing models with arbitrary shock distributions
zbMATH Open document ID: 1023.91022
DOI: 10.1016/S0165-1889(02)00017-9
author: Efthymios G. Tsionas
publication date: 2003-01-21T00:00:00Z
review text: The paper provides an exact solution to standard asset pricing models for any distribution of shocks to endowment's growth rate. It determines the conditions that guarantee the existence of a stationary bounded equilibrium, and examines these conditions for an Edgeworth expansion distribution of the shocks. The results are extended to the case of multivariate asset pricing models.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 1856543
zbMATH Keywords: asset pricing models
zbMATH Keywords: equilibrium
zbMATH Keywords: Edgeworth
MaRDI profile type: Publication
cites work: Solving asset pricing models with Gaussian shocks
cites work: A note on some limitations of CRRA utility
cites work: Q4315010
cites work: Asset Prices in an Exchange Economy
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full work available at URL: s0165-1889(02)00017-9
OpenAlex ID: W1996688585
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 1856543