Computational Methods for Production-Based Asset Pricing Models with Recursive Utility

Consumption-Based Asset Pricing with Recursive Utility

In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...

Consumption-Based Asset Pricing Models

A major research initiative in finance focuses on the determinants of the cross-sectional and time series properties of asset returns. With that objective in mind, asset pricing models have been developed, starting with the capital asset pricing models of Sharpe (1964), Lintner (1965), andMossin (1966). Consumption-based asset pricing models use marginal rates of substitution to determine the r...

Asset Pricing with Stochastic Differential Utility

Computational Methods for Congestion Toll Pricing Models

In earlier work a toll pricing framework for congestion pricing has been developed for both fixed and elastic demand traffic assignment models as an alternative to traditional marginal social cost pricing. Within the framework it is possible to define alternative objectives such as minimizing toll costs, minimizing the number of toll booths, etc. This paper will report the results of recent com...

Asset Pricing in a Lucas Economy with Recursive Utility Heterogeneous Agents

We extend the Lucas economy (1978) to the case of preferences a la Kreps-Porteus (1978) when the dividend (fruit) process follows a geometric Brownian Motion. In the representative agent case, the equilibrium price reveals a two-stage mechanism. First, the risk averse agent adjusts downward the average growth rate of dividends to incorporate uncertainty. Then, the e¤ect of the intertemporal ela...