Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F01%3A16010131" target="_blank" >RIV/67985556:_____/01:16010131 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets.
Original language description
The paper defines a model of asset prices in an economy with decentralized dealership markets for every traded security. The economy is analyzed in continuous time with diffusion uncertainty, and the dealers solve investment and active trade optimizationproblems with the help of the stochastic maximum principle. The result is a generalized 'dealer consumption-based' Capital Asset Pricing Model.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2001
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Bulletin of the Czech Econometric Society
ISSN
1212-074X
e-ISSN
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Volume of the periodical
7
Issue of the periodical within the volume
13
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
30
Pages from-to
43-72
UT code for WoS article
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EID of the result in the Scopus database
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