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Dynamic spanning in the consumption-based capital asset pricing model

Christensen, Peter Ove; Graversen, Svend Erik; … - 1996

Persistent link: https://www.econbiz.de/10000940850

Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

Christensen, Peter Ove - 2015

Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are characterized by each agent's consumption process being adapted to the filtration generated by the aggregate consumption process of the economy. The wealth processes of...

Persistent link: https://www.econbiz.de/10012750778

State-dependent realignments in target zone currency regimes

Christensen, Peter Ove - In: Review of derivatives research 1 (1997) 4, pp. 295-323

Persistent link: https://www.econbiz.de/10001238757

An arbitrage theory on the term structure of interest rates

Miltersen, Kristian R. - 1991

Persistent link: https://www.econbiz.de/10000822414

Valuation of natural resource investments with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R. - 1997

Persistent link: https://www.econbiz.de/10000973571

A model of the term structure of interest rates

Miltersen, Kristian R. - 1993

Persistent link: https://www.econbiz.de/10000870232

Pricing of interest rate contingent claims : implementing a simulation approach

Miltersen, Kristian R. - In: The journal of computational finance 1 (1998) 3, pp. 7-62

Persistent link: https://www.econbiz.de/10001632703

An empirical study of the term structure of interest rates

Miltersen, Kristian R. - 1992

Persistent link: https://www.econbiz.de/10000851680

An arbitrage theory of the term structure of interest rates

Miltersen, Kristian R. - 1992 - 2. ed

Persistent link: https://www.econbiz.de/10000853604

Valuation of natural resource investments with stochastic convenience yields and interest rates

Miltersen, Kristian R. - In: Project flexibility, agency, and competition : new …, (pp. 183-204). 2000

Persistent link: https://www.econbiz.de/10001680723

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