Pricing Kernel and Stochastic Discount Factor

Ser-Huang Poon

Chapter 2 in Advanced Finance Theories, 2018, pp 5-17 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Arrow–Debreu State PricesThe pricing kernel, ϕiEquilibrium modelCochrane Two-period Consumption ProblemStochastic discount factorFurther notationRisk-free rateRisk correctionsIdiosyncratic risk does not affect pricesExpected Return-Beta Representation

Keywords: Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets (search for similar items in EconPapers)
JEL-codes: G30 (search for similar items in EconPapers)
Date: 2018
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