Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification

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