18 research outputs found
Risk Price Dynamics
We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution modeled as a Markov process. Stochastic growth in the underlying macroeconomy and stochastic discounting in the representation of asset values are central ingredients in our investigation. We provide elasticity calculations in a series of examples featuring consumption externalities, recursive utility, and jump risk.
Legal Regulation of the Disposal of Genetically Modified Organisms and Products
Department of Environmental LawKatedra práva životního prostředíFaculty of LawPrávnická fakult
Technologický projekt lisovny pro maloseriovou výrobu drobných výstřiků a výtažků z tenkých plechů v n.p. Tesla Liberec
Risk-Price Dynamics
We present a novel approach to depicting asset-pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution modeled as a Markov process. Stochastic growth in the underlying macroeconomy and stochastic discounting in the representation of asset values are central ingredients in our investigation. We provide elasticity calculations in a series of examples featuring consumption externalities, recursive utility, and jump risk. (JEL: C52, E44, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: [email protected], Oxford University Press.