Identifying the utility function corresponding to a given stock price process
Salomon Brothers Center for the Study of Financial Institutions, Graduate School of Business Administration, New York University, 1986 - Business & Economics - 18 pages
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1983 ______ __ absolute risk aversion Analysis Announcements on Interest assumption Bankruptcy constant absolute risk constant proportional risk continuous function continuous-time D.K. Hhitcomb differentiation diffusion coefficients equilibrium European call options Example exhibits risk aversion February 1983 Published final date Financial Economics function which corresponds fundamental solution G.F. Udell geometric Brownian motion given diffusion process given stock price Hawawini and Ashok identical individuals IDENTIFYING THE UTILITY individual's optimal policy Interest Rate Futures Ito's lemma J.J. Merrick January July 1985 ______ marginal utility numeraire October 1985 _ optimal strategy proportional risk aversion Published in Journal R.A. Schwartz R.C. Stapleton Rational Expectations S.B. Lee Salomon Brothers Center Saunders Schwartz and D.K. September 1983 standard Wiener process stochastic process stock price follows stock price process Subrahmanyam Suppose St Systematic Risk Term Structure Theorem trade transition density transition probability density utility function exhibits York University