General equilibrium asset pricing under regime switching
نویسندگان
چکیده
منابع مشابه
General Equilibrium Asset Pricing under Regime Switching
We have investigated the asset pricing problem in a general equilibrium in an economy with two states. Based on the assumption of a CRRA utility function, we have derived a partial differential equation satisfied by the representative agent’s cost function. In the case when the representative agent doesn’t have intermediate consumption, we have found an explicit solution of the cost function. A...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2008
ISSN: 0973-9599
DOI: 10.31390/cosa.2.3.04