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Do CAPM results hold in a dynamic economy? A numerical analysis

Article Abstract:

A numerical analysis, based on the projection method proposed by Judd, was used to analyze the properties of the Brock (1979) asset pricing model for various types of utility and production functions. The results revealed that market portfolios tend to become mean-variance efficient under dynamic set-ups. Further, the analysis confirmed the existence of analytically untractable conjectures. The dynamic framework used in the analysis was also cited effectual in analyzing several financial economic issues, including price to earning ratios and asset return.

Economics, Research and Development in the Social Sciences and Humanities, Financial Management, Pricing Policy, Usage, Evaluation, Stochastic analysis, Pricing, Numerical analysis, Capital assets pricing model, Capital asset pricing model

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Risk and return in a dynamic general equilibrium model

Article Abstract:

The link between risk and return on productive assets was examined, based on an intertemporal general equilibrium model.

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A solution method for consumption decisions in a dynamic stochastic general equilibrium model

Article Abstract:

The consumer's life-cycle problem is provided with a numerical solution based on value function iteration.

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