Three Essays on Asset Pricing Model with Heterogenous Agents
Author : Tae-Jin Kang
Publisher :
Page : 174 pages
File Size : 18,48 MB
Release : 1991
Category :
ISBN :
Author : Tae-Jin Kang
Publisher :
Page : 174 pages
File Size : 18,48 MB
Release : 1991
Category :
ISBN :
Author : Tsvetanka Karagyozova
Publisher :
Page : 264 pages
File Size : 22,39 MB
Release : 2007
Category :
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Author : Qi Zeng
Publisher :
Page : 117 pages
File Size : 12,11 MB
Release : 2003
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ISBN :
My dissertation concerns the equilibrium asset pricing and its implications when agents are heterogenous. There are three chapters in the dissertation.
Author : Yongli Zhang
Publisher : ProQuest
Page : 198 pages
File Size : 19,24 MB
Release : 2007
Category :
ISBN : 9780549269489
G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author : Lionel Martellini
Publisher :
Page : 390 pages
File Size : 15,53 MB
Release : 2000
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Author : Wenqing Wang
Publisher :
Page : 342 pages
File Size : 43,58 MB
Release : 2004
Category : Investments
ISBN :
Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
Page : 258 pages
File Size : 48,35 MB
Release : 2006-10-02
Category : Business & Economics
ISBN : 0470057998
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Author : Kyou Yung Kim
Publisher :
Page : 65 pages
File Size : 28,58 MB
Release : 1988
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Author : Yoon Kang Lee
Publisher :
Page : 157 pages
File Size : 34,5 MB
Release : 2018
Category : Arbitrage
ISBN :
This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Author : Lei Zhao
Publisher :
Page : 0 pages
File Size : 11,88 MB
Release : 2018
Category : Capital assets pricing model
ISBN : 9780438193239
Using more stringent test assets and more formal model diagnostic tools, the first essay demonstrates the importance of higher-order comoment risks in asset pricing by assessing the performance of the most commonly used asset pricing models with and without these risks incorporated. Specifically, we find that higher-order comoment risks help the Fama and French serial pricing kernels to be closer to the admissible pricing kernel and that the newly developed Fama and French five-factor model (Fama and French, 2015), when augmented by the quadratic and cubic terms of the market return and with momentum incorporated, requires the least adjustment to be admissible.