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https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/100354Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Forero Laverde, Germán | - |
| dc.date | 2011-02-13 | - |
| dc.date.accessioned | 2022-03-22T19:37:17Z | - |
| dc.date.available | 2022-03-22T19:37:17Z | - |
| dc.identifier | https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 | - |
| dc.identifier.uri | http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/100354 | - |
| dc.description | This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – Nikodym derivative which allows for a change in the probability measurable space. Its study entails the use of a power utility function, deriving the marginal rate of substitution and the application of the model to Colombian time series. As a result, we confirm the existence of the equity premium puzzle. | en-US |
| dc.format | application/pdf | - |
| dc.language | spa | - |
| dc.publisher | Facultad de Finanzas, Gobierno y Relaciones Internacionales | es-ES |
| dc.relation | https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324/2974 | - |
| dc.source | ODEON; Núm. 6 (2011) | es-ES |
| dc.source | 2346-2140 | - |
| dc.source | 1794-1113 | - |
| dc.subject | Equilibrium | en-US |
| dc.subject | arbitrage | en-US |
| dc.subject | stochastic discount factor | en-US |
| dc.subject | equity premium puzzle | en-US |
| dc.subject | applied microeconomics | en-US |
| dc.title | Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification | en-US |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| Aparece en las colecciones: | Centro de Investigaciones y Proyectos Especiales - CIPE/UEXTERNADO - Cosecha | |
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