TY - JOUR
AU - Germán Forero Laverde
PY - 2011/02/13
Y2 - 2019/12/15
TI - Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
JF - ODEON
JA - ODE
VL - 0
IS - 6
SE - Artículos
DO -
UR - https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
AB - This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – Nikodym derivative which allows for a change in the probability measurable space. Its study entails the use of a power utility function, deriving the marginal rate of substitution and the application of the model to Colombian time series. As a result, we confirm the existence of the equity premium puzzle.
ER -