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ASPECTS OF MODELS USED IN FINANCIAL ECONOMICS
On the General Validity of the MeanVariance
Capital Asset Pricing in
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after-tax analysis arbitrage assume assumption before-tax capital asset pricing capital gains capital market cash flows change in F commodity conditional conditional expected consumption corporate cost coupon defined derived distribution equal equilibrium growth equilibrium prices example expected financial economics firm firm's follows futures prices growth theory Hence hold implies incentive income effect indifference curve individuals interest rate investment investors Journal of Financial Lemma market equilibrium market portfolio market price martingale mean-variance obtain option paper partial differential equation Paul Cootner payments period predicted premium price changes probability problem Proof purchase random variable random walk rate of return rational rational expectations redemption restrictions result risk risk-averse riskless rate risky salary sample path savings bond security market security prices shares speculation stochastic differential equation stochastic process stock market tax brackets tax rules term Theorem trading interval Type III outcome uncertainty utility function variance vector wealth zero