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Olkhov, Victor - 2021

We consider the consumption-based asset-pricing model, derive a modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor’s utility during the averaging time interval. For linear and quadratic Taylor approximations, we derive...

Persistent link: https://www.econbiz.de/10015213835

Three Remarks On Asset Pricing

Olkhov, Victor - 2021

We consider the time interval Δ during which the market trade time-series are averaged as the key factor of the consumption-based asset-pricing model that causes modification of the basic pricing equation. The duration of Δ determines Taylor series of investor’s utility over current and...

Persistent link: https://www.econbiz.de/10015259031

Three Remarks On Asset Pricing

Olkhov, Victor - 2022

We consider well-known consumption-based asset pricing theory and regard the choice of the time interval Δ used for averaging the market price time-series as the key factor of asset pricing. We show that the explicit usage of the averaging interval Δ allows expand investor’s utility into...

Persistent link: https://www.econbiz.de/10015268394

Three Remarks On Asset Pricing

Olkhov, Victor - 2021

This paper considers the theoretical framework of the consumption-based asset-pricing model and derives successive approximations of the modified basic pricing equation using the Taylor series expansions of the investor’s utility function during the averaging time interval. For linear and...

Persistent link: https://www.econbiz.de/10015270624

Three Remarks On Asset Pricing

Olkhov, Victor - 2021

We make three remarks to the main CAPM equation presented in the well-known textbook by John Cochrane (2001). First, we believe that any economic averaging procedure implies aggregation of corresponding time series during certain time interval Δ and explain the necessity to use math expectation...

Persistent link: https://www.econbiz.de/10015244756

Three Remarks On Asset Pricing

Olkhov, Victor - 2021

Asset pricing crucially depends on an averaging time interval Δ of the market trade time-series. The choice of Δ changes the basic pricing equation and determines Taylor series of investor’s utility functions over current and future values of consumption. We present current and future values...

Persistent link: https://www.econbiz.de/10015251402

Three Remarks On Asset Pricing

Olkhov, Victor - 2024

We consider the consumption-based asset-pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor’s utility during the averaging time interval. For linear and quadratic Taylor approximations, we...

Persistent link: https://www.econbiz.de/10015212986

Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence

Constantinides, George M.; Czerwonko, Michal; … - 2008

American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid...

Persistent link: https://www.econbiz.de/10009471662

Financial Economies With Restricted Participation

Aouani, Zaier - 2009

An abundant literature is concerned with the existence of equilibrium in incomplete markets where participation to … convex subsets of the portfolio space. Our contribution to the literature on general equilibrium of financial markets is … with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …

Persistent link: https://www.econbiz.de/10009430939

Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model

Olkhov, Victor - 2022

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price “to-day,” mean payoff...

Persistent link: https://www.econbiz.de/10015213294