Ser‐Huang Poon
Abstract
The following sections are included:Arrow–Debreu State PricesThe pricing kernel, ϕiEquilibrium modelCochrane Two-period Consumption ProblemStochastic discount factorFurther notationRisk-free rateRisk correctionsIdiosyncratic risk does not affect pricesExpected Return-Beta Representation
A significance statement is not available in the OpenAlex record.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
The following sections are included:Arrow–Debreu State PricesThe pricing kernel, ϕiEquilibrium modelCochrane Two-period Consumption ProblemStochastic discount factorFurther notationRisk-free rateRisk correctionsIdiosyncratic risk does not affect pricesExpected Return-Beta Representation
Key concepts: Stochastic discount factor, Discounting, Economics, Factor (programming language), Kernel (algebra), Econometrics, Capital asset pricing model, Mathematics