منابع مشابه
Asset Pricing with Dynamic Programming
The study of asset price characteristics of stochastic growth models such as the riskfree interest rate, equity premium and the Sharpe-ratio has been limited by the lack of global and accurate methods to solve dynamic optimization models. In this paper a stochastic version of a dynamic programming method with adaptive grid scheme is applied to compute the asset price characteristics of a stocha...
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The study of asset price characteristics of stochastic growth models such as the riskfree interest rate, equity premium and the Sharpe ratio has been limited by the lack of global and accurate methods to solve dynamic optimization models. In this paper a stochastic version of a dynamic programming method with adaptive grid scheme is applied to compute the above mentioned asset price characteris...
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ژورنال
عنوان ژورنال: Computational Economics
سال: 2007
ISSN: 0927-7099,1572-9974
DOI: 10.1007/s10614-006-9063-1