A SIMPLE ECONOMETRIC-APPROACH FOR UTILITY-BASED ASSET PRICING-MODELS

被引:58
作者
BROWN, DP [1 ]
GIBBONS, MR [1 ]
机构
[1] STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
关键词
D O I
10.2307/2327890
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:359 / 381
页数:23
相关论文
共 39 条
[31]   INCREASING RISK .2. ITS ECONOMIC CONSEQUENCES [J].
ROTHSCHILD, M ;
STIGLITZ, JE .
JOURNAL OF ECONOMIC THEORY, 1971, 3 (01) :66-84
[32]  
Royden H.L., 1968, REAL ANAL, V2nd
[33]   VALUATION OF UNCERTAIN INCOME STREAMS AND PRICING OF OPTIONS [J].
RUBINSTEIN, M .
BELL JOURNAL OF ECONOMICS, 1976, 7 (02) :407-425
[34]  
Rubinstein M., 1974, J FINANC ECON, V1, P225
[35]  
RUBINSTEIN M, 1977, FINANCIAL DECISION M
[36]   LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING [J].
SAMUELSON, PA .
REVIEW OF ECONOMICS AND STATISTICS, 1969, 51 (03) :239-246
[37]  
Sherfling R., 1980, WILEY SERIES PROBABI, DOI 10.1002/9780470316481
[39]   INVARIANCE OF MAXIMUM LIKELIHOOD ESTIMATORS [J].
ZEHNA, PW .
ANNALS OF MATHEMATICAL STATISTICS, 1966, 37 (03) :744-&