Dependent background risks and asset prices

Dependent background risks which have functional forms are introduced into Lucas economies. This paper determines the conditions on preferences to guarantee the monotonicity of asset prices, when dependent background risks satisfy the monotonicity and the single crossing conditions.

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Year of publication:	2005
Authors:	Osaki, Yusuke
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 4.2005, 8, p. 1-8
Publisher:	AccessEcon
Subject:	Asset price

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	D8 - Information and Uncertainty ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005416968