Now showing items 1-3 of 3

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

      Akdeniz, L.; Dechert, W. D. (Elsevier, 1997)
      In this research we use the projection method (reported by Judd) to find numerical solutions to the Euler equations of a stochastic dynamic growth model. The model that we solve is Brock's asset pricing model for a variety ...
    • The equity premium in Brock's asset pricing model 

      Akdeniz, L.; Dechert, W. D. (Elsevier, 2007)
      In this paper we combine dynamic programming methods with projection methods for solving stochastic growth models. As an application of these methods, we solve Brock’s asset pricing model with a variety of parameterizations. ...
    • The equity premium in consumption and production models? 

      Akdeniz, L.; Dechert, W. D. (Cambridge University Press, 2012-02-27)
      In this paper we use a simple model with a single Cobb–Douglas firm and a consumer with a CRRA utility function to show the difference between the equity premia in the production-based Brock model and the consumption-based ...