Gain, loss, and asset pricing

Journal of Political Economy

Volumn 108, Issue 1, 2000, Pages 144-172

  Bernardo, Antonio E ^a   Ledoit, Olivier ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC THEORY; PRICE DETERMINATION;

EID: 0034039182     PISSN: 00223808     EISSN: None     Source Type: Journal    
DOI: 10.1086/262114     Document Type: Article

References (23)

1. Aït-Sahalia, Yacine, and Lo, Andrew W. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices." J. Finance 53 (April 1998): 499-547.
2. Backus, David; Foresi, Silverio; and Telmer, Chris. "Affine Models of Currency Pricing." Manuscript. New York: New York Univ., Stern School Bus., 1996.
3. Bansal, Ravi, and Lehmann, Bruce N. "Growth-Optimal Portfolio Restrictions on Asset Pricing Models." Macroeconomic Dynamics 1, no. 2 (1997): 383-54.
4. Bansal, Ravi, and Viswanathan, S. "No Arbitrage and Arbitrage Pricing: A New Approach." J. Finance 48 (September 1993): 1231-62.
5. Bawa, Vijay S., and Lindenberg, Eric B. "Capital Market Equilibrium in a Mean-Lower Partial Moment Framework." J. Financial Econ. 5 (November 1977): 189-200.
6. Bernardo, Antonio E., and Ledoit, Olivier. "Approximate Arbitrage." Manuscript. Los Angeles: Univ. California, Anderson Grad. School Management, 1999.
7. Black, Fischer, and Scholes, Myron S. "The Pricing of Options and Corporate Liabilities." J.P.E. 81 (May/June 1973): 637-54.
8. Brennan, Michael J. "The Pricing of Contingent Claims in Discrete Time Models." J. Finance 34 (March 1979): 53-68.
9. Cochrane, John, and Saá-Requejo, Jesús. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets." J.P.E. 108 (February 2000): 79-119.
10. Constantinides, George. "Option Pricing Bounds Based on Stochastic Dominance." Manuscript. Chicago: Univ. Chicago, Grad. School Bus., 1994.
11. Dybvig, Philip H., and Ingersoll, Jonathan E., Jr. "Mean-Variance Theory in Complete Markets." J. Bus. 55 (April 1982): 233-51.
12. Grinblatt, Mark, and Titman, Sheridan D. "Portfolio Performance Evaluation: Old Issues and New Insights." Rev. Financial Studies 2, no. 3 (1990): 393-421.
13. Hansen, Lars Peter, and Jagannathan, Ravi. "Implications of Security Market Data for Models of Dynamic Economies." J.P.E. 99 (April 1991): 225-62.
14. _. "Assessing Specification Errors in Stochastic Discount Factor Models." J. Finance 52 (June 1997): 557-90.
15. Ledoit, Olivier. "Essays on Risk and Return in the Stock Market." Ph.D. dissertation, Massachusetts Inst. Tech., 1995.
16. Luenberger, David G. Optimization by Vector Space Methods. New York: Wiley, 1969.
17. Mehra, Rajnish, and Prescott, Edward C. "The Equity Premium: A Puzzle." J. Monetary Econ. 15 (March 1985): 145-61.
18. Merton, Robert C. "Theory of Rational Optional Pricing." Bell J. Econ. and Management Sci. 4 (Spring 1973): 141-83.
19. Ross, Stephen A. "The Arbitrage Theory of Capital Asset Pricing." J. Econ. Theory 13 (December 1976): 341-60.
20. _. "A Simple Approach to the Valuation of Risky Streams." J. Bus. 51 (July 1978): 453-75.
21. Rubinstein, Mark. "The Valuation of Uncertain Income Streams and the Pricing of Options." Bell J. Econ. 7 (Autumn 1976): 407-25.
22. Snow, Karl N. "Diagnosing Asset Pricing Models Using the Distribution of Asset Returns." J. Finance 46 (July 1991): 955-83.
23. Stutzer, Michael. "A Bayesian Approach to Diagnosis of Asset Pricing Models." J. Econometrics 68 (August 1995): 367-97.