Suche nach Personen

plus im Publikationsserver
plus bei Google Scholar

Bibliografische Daten exportieren
 

Asset pricing with dynamic programming

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005550
URN zum Zitieren der Version auf EPub Bayreuth: urn:nbn:de:bvb:703-epub-5550-1

Titelangaben

Grüne, Lars ; Semmler, Willi:
Asset pricing with dynamic programming.
Bayreuth , 2006

Volltext

[thumbnail of gruene_et_al_asset_pricing_comp_econ_2007.pdf]
Format: PDF
Name: gruene_et_al_asset_pricing_comp_econ_2007.pdf
Version: Veröffentlichte Version
Verfügbar mit der Lizenz Creative Commons BY 4.0: Namensnennung
Download (621kB)

Abstract

The study of asset price characteristics of stochastic growth models such as the risk-free interest rate, equity premium and the Sharpe-ratio has been limited by the lack of global and accurate methods to solve dynamic optimization models. In this paper a stochastic version of a dynamic programming method with adaptive grid scheme is applied to compute the asset price characteristics of a stochastic growth model. The stochastic growth model is of the type as developed by Brock and Mirman (1972) and Brock (1979, 1982). It has become the baseline model in the stochastic dynamic general equilibrium literature. In a first step, in order to test our procedure, it is applied to this basic stochastic growth model for which the optimal consumption and asset prices can analytically be computed. Since, as shown, our method produces only negligible errors, as compared to the analytical solution, in a second step, we apply it to more elaborate stochastic growth models with adjustment costs and habit formation. In the latter model preferences are not time separable and past consumption acts as a constraint on current consumption. This model gives rise to an additional state variable. We here too apply our stochastic version of a dynamic programming method with adaptive grid scheme to compute the above mentioned asset price characteristics. We show that our method is very suitable to be used as solution technique for such models with more complicated decision structure.

Weitere Angaben

Publikationsform: Preprint, Postprint
Zusätzliche Informationen (öffentlich sichtbar): Erscheint in: Computational Economics. Bd. 29 (Januar 2007) Heft 3/4 . - S. 233-265; https://doi.org/10.1007/s10614-006-9063-1
Keywords: Stochastic growth models; Asset pricing; Stochastic dynamic programming; Adaptive grid
Themengebiete aus DDC: 500 Naturwissenschaften und Mathematik
500 Naturwissenschaften und Mathematik > 510 Mathematik
Institutionen der Universität: Fakultäten > Fakultät für Mathematik, Physik und Informatik > Mathematisches Institut > Lehrstuhl Mathematik V (Angewandte Mathematik) > Lehrstuhl Mathematik V (Angewandte Mathematik) - Univ.-Prof. Dr. Lars Grüne
Fakultäten
Fakultäten > Fakultät für Mathematik, Physik und Informatik
Fakultäten > Fakultät für Mathematik, Physik und Informatik > Mathematisches Institut
Fakultäten > Fakultät für Mathematik, Physik und Informatik > Mathematisches Institut > Lehrstuhl Mathematik V (Angewandte Mathematik)
Sprache: Englisch
Titel an der UBT entstanden: Ja
URN: urn:nbn:de:bvb:703-epub-5550-1
Eingestellt am: 19 Mai 2021 06:51
Letzte Änderung: 16 Jun 2021 09:31
URI: https://epub.uni-bayreuth.de/id/eprint/5550

Downloads

Downloads pro Monat im letzten Jahr