Equilibrium Asset Pricing under Affine Jump-Diffusion with Recursive Preferences

Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.2693748 ◽

2015 ◽

Author(s):

Taeyoung Doh ◽

Shu Wu

Keyword(s):

Asset Pricing ◽

Cash Flow ◽

Risk Premium ◽

Pricing Model ◽

Recursive Preferences ◽

Asset Pricing Model ◽

Equilibrium Asset Pricing

An Elementary Approach to the Fundamental Theorems of Asset Pricing in Jump-Diffusion Markets with Credit Risks, Funding Risks, and Collateral

SSRN Electronic Journal ◽

10.2139/ssrn.3385790 ◽

2019 ◽

Author(s):

Lee Jackson

Keyword(s):

Asset Pricing ◽

Jump Diffusion ◽

Elementary Approach ◽

Credit Risks ◽

Fundamental Theorems

A Nonparametric GMM Series Approach to Solving Multi-equation Asset Pricing Models with Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.3372147 ◽

2016 ◽

Author(s):

Liyuan Cui ◽

Yongmiao Hong

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Recursive Preferences ◽

Asset Pricing Models

Informed Trading, Return Synchronicity and Equilibrium Asset Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.676113 ◽

2005 ◽

Cited By ~ 1

Author(s):

Arzu Ozoguz

Keyword(s):

Asset Pricing ◽

Informed Trading ◽

Equilibrium Asset Pricing

Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps

Journal of Mathematical Economics ◽

10.1016/j.jmateco.2005.08.003 ◽

2006 ◽

Vol 42 (2) ◽

pp. 131-160 ◽

Cited By ~ 10

Author(s):

Chenghu Ma

Keyword(s):

Asset Pricing ◽

Recursive Utility ◽

Pricing Model ◽

Asset Pricing Model ◽

Equilibrium Asset Pricing ◽

Lévy Jumps

Asset pricing for an affine jump-diffusion model using an FD method of lines on nonuniform meshes

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.5363 ◽

2018 ◽

Vol 42 (2) ◽

pp. 578-591 ◽

Cited By ~ 4

Author(s):

Fazlollah Soleymani ◽

Ali Akgül

Keyword(s):

Asset Pricing ◽

Diffusion Model ◽

Method Of Lines ◽

Jump Diffusion ◽

Nonuniform Meshes ◽

Jump Diffusion Model

Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering

Financial Engineering - Handbooks in Operations Research and Management Science ◽

10.1016/s0927-0507(07)15002-7 ◽

2007 ◽

pp. 73-116 ◽

Cited By ~ 34

Author(s):

S.G. Kou

Keyword(s):

Asset Pricing ◽

Financial Engineering ◽

Jump Diffusion ◽

Diffusion Models

Affine Equilibrium Asset Pricing Models With Habit Formation

SSRN Electronic Journal ◽

10.2139/ssrn.968220 ◽

2007 ◽

Cited By ~ 2

Author(s):

Imen Ghattassi

Keyword(s):

Asset Pricing ◽

Habit Formation ◽

Pricing Models ◽

Equilibrium Asset Pricing ◽

Asset Pricing Models

Equilibrium Asset Pricing with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.3326085 ◽

2019 ◽

Cited By ~ 3

Author(s):

Martin Herdegen ◽

Johannes Muhle-Karbe ◽

Dylan Possamaï

Keyword(s):

Asset Pricing ◽

Transaction Costs ◽

Equilibrium Asset Pricing

THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH

Macroeconomic Dynamics ◽

10.1017/s1365100502031036 ◽

2002 ◽

Vol 6 (2) ◽

pp. 242-265 ◽

Cited By ~ 29

Author(s):

Martin Lettau ◽

Harald Uhlig

Keyword(s):

Asset Pricing ◽

Habit Formation ◽

Market Price ◽

Sharpe Ratio ◽

Discount Factor ◽

Stochastic Discount Factor ◽

Parametric Approach ◽

Recursive Preferences ◽

Convenient Tool ◽

Log Normal

We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations. This can be understood as an analytical shortcut to the calculation of the Hansen–Jagannathan volatility bounds, and therefore provides a convenient tool for theorists searching for models capable of explaining asset-pricing facts. To illustrate the usefulness of our approach, we examine several popular preference specifications, such as CRRA, various types of habit formation, and the recursive preferences of Epstein–Zin–Weil. Furthermore, we show how the models with idiosyncratic consumption shocks can be studied.