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...

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...

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...

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...

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...

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...

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...

The last financial and economic crisis demonstrated the dysfunctional long-term effects of aggressive behaviour in financial markets. Yet, evolutionary game theory predicts that under the condition of strategic dependence a certain degree of aggressive behaviour remains within a given population...

We propose to discuss a new technique to derive an good approximated solution for the price of a European call and put options, in a market model with stochastic volatility. In particular, the model that we have considered is the Heston's model. This allows arbitrary correlation between...

The present study is, in particular, an attempt to test the relationship between tax level and political stability by using some economic control variables and to see the relationship among government effectiveness, corruption, and GDP. For the purpose, we used the Vector Autoregression (VAR)...