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

dc.citation.epage1003en_US
dc.citation.issueNumber6en_US
dc.citation.spage981en_US
dc.citation.volumeNumber21en_US
dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorDechert, W. D.en_US
dc.date.accessioned2016-02-08T10:48:14Z
dc.date.available2016-02-08T10:48:14Z
dc.date.issued1997en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractIn 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 of parameterizations of the production functions. Using simulated data from the model, conjectures (which are not analytically tractable) can be verified. We show that the market portfolio is mean-variance efficient in this dynamic context. We also show a result that is not available from the static CAPM theory: the efficient frontier shifts up and down over the business cycle.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:48:14Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 1997en
dc.identifier.issn0165-1889
dc.identifier.urihttp://hdl.handle.net/11693/25630
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.source.titleJournal of Economic Dynamics and Controlen_US
dc.subjectAsset pricing modelsen_US
dc.subjectComputational economicsen_US
dc.subjectProjection methodsen_US
dc.subjectStochastic growth modelsen_US
dc.titleDo CAPM results hold in a dynamic economy? a numerical analysisen_US
dc.typeArticleen_US

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