A representative agent model based on risk-neutral prices
Papers from arXiv.org
In this paper, we determine a representative agent model based on risk-neutral information. The main idea is that the pricing kernel is transition independent, which is supported by the well-known capital asset pricing theory. Determining the representative agent model is closely related to the eigenpair problem of a second-order differential operator. The purpose of this paper is to find all such eigenpairs which are financially or economically meaningful. We provide a necessary and sufficient condition for the existence of such pairs, and prove that that all the possible eignepairs can be expressed as a one-parameter family. Finally, we find a representative agent model derived from the eigenpairs.
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1801.09315 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.09315
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().