The comparative statics on asset prices based on bull and bear market measure

Masamitsu Ohnishi*, Yusuke Osaki

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.

本文言語English
ページ(範囲)291-300
ページ数10
ジャーナルEuropean Journal of Operational Research
168
2 SPEC. ISS.
DOI
出版ステータスPublished - 2006 1 16
外部発表はい

ASJC Scopus subject areas

  • コンピュータ サイエンス(全般)
  • モデリングとシミュレーション
  • 経営科学およびオペレーションズ リサーチ
  • 情報システムおよび情報管理

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