Good|Deal Asset Price Bounds in Incomplete Markets
Beyond Arbitrage: Good-Deal Asset Price Bounds in ... - jstor
Beyond Arbitrage: Good-Deal Asset Price. Bounds in Incomplete Markets. John H. Cochrane. University of Chicago, Federal Reserve Bank of Chicago, and National ...
"good-deal" - asset price bounds in incomplete markets
It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing ...
Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete ...
We impose weak economic restriction to derive usefully tight bounds on asset prices in this situation. The bounds assume that investors would want to buy ...
Good-Deal Asset Price Bounds in Incomplete Markets
(With Jesus Saa-Requejo.) Journal of Political Economy 108, 79-119, 2000 We add a Sharpe ratio or discount factor volatility constraint to ...
Beyond Arbitrage: 'Good Deal' Asset Price Bounds in Incomplete ...
We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - good ...
"Good-Deal" Asset Price Bounds in Incomplete Markets | NBER
We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios.
Beyond Arbitrage: Good-Deal Asset Price Bounds in ... - NYU Stern
Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets. John H. Cochrane; Jesus Saa-Requejo. The Journal of Political Economy ...
Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete ...
The bounds assume no trading until expiration and a discount factor volatility bound h ⫽ 1.0 corresponding to twice the market Sharpe ratio. The stock is ...
Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete
This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset ...
Robust Good-Deal Bounds in Incomplete Markets
In this study, we extend Cochrane and Saá-Requejo's (2000) analysis to derive good- deal bounds on asset prices when investors are concerned about model ...
Good-Deal Asset Price Bounds in Incomplete Markets - ResearchGate
... In a different strain of research, discoveries related to asset pricing in incomplete markets suggest that in the absence of a unique pricing kernel, ...
'Good Deal' Asset Price Bounds in Incomplete Markets
This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset ...
Good-Deal Bounds in Asset Pricing - LSA - University of Michigan
Abstract. Market incompleteness arises from frictions or transaction costs. When investors trade in such markets, due to non-uniqueness of stochastic ...
Good-Deal Asset Price Bounds in Incomplete Markets - EconPapers
By John Cochrane and Jesus Saa-Requejo; Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets.
Beyond arbitrage : "good-deal" asset price bounds in incomplete ...
Beyond arbitrage : "good-deal" asset price bounds in incomplete markets ; Publisher: Cambridge, Mass. : National Bureau of Economic Research ; Subject: CAPM | ...
ROBUST GOOD-DEAL BOUNDS IN INCOMPLETE MARKETS - jstor
asset prices when investors are concerned about model uncertainty and seek robust pricing decisions in incomplete markets. We investigate properties of the ...
Chapter 12 Incomplete Markets - ScienceDirect.com
The terminal values of the three assets are given in Table 2. The no-arbitrage bounds for the straddle price are $2.72 and $18.18. Consider the utility function ...
Good-Deal Asset Pricing Bounds in Incomplete Markets | Request PDF
Good-Deal Asset Pricing Bounds in Incomplete Markets ... To read the full-text of this research, you can request a copy directly from the authors.
Fundamental Theorems of Asset Pricing for Good Deal Bounds - 2004
Abstract. We prove fundamental theorems of asset pricing for good deal bounds in incomplete markets. These theorems relate arbitrage-freedom and ...
Price Theory for Incomplete Markets - MIT Economics
A popular class of models features. Walrasian static markets, linked over time by imperfectly and incomplete asset markets, including borrowing constraints ...