An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles-Reference-Cited by-同舟云学术

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An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Jarrow Robert A.

Publisher

Elsevier BV

Reference45 articles.

1. Optimum Portfolio Diversification in a General Continuous Time Model;K Aase;Stochastic Processes and their Applications,1984

2. Portfolio Choice with Jumps: A Closed Form Solution;Y Ait-Sahalia;The Annals of Applied Probability,2009

3. Portfolio Choice in Markets with Contagion;Y Ait-Sahalia;Journal of Financial Econometrics,2016

4. Basic Concepts of Probability

5. A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk;S Basak;Journal of Economic Dynamics and Control,2000

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