Ronald W Michener
Biographic Data
| ID | 5868511 |
|---|---|
| NAME | Ronald W Michener |
| GIVEN NAMES | Ronald W |
| FAMILY NAME | Michener |
| SIGNATURE | MICHENER R W |
| ORCID | 0000-0003-2766-2517 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1982 |
| LATEST PUBLICATION YEAR | 1982 |
| H-INDEX | 1 |
Variance Bounds in a Simple Model of Asset Pricing
This paper presents a parametric example of a one-asset exchange economy in which the asset price is endogenously determined. It is demonstrated that the volatility of the asset's price uniformly violates the theoretical upper bound implied by the present value relation. In addition, the variance bounds may be violated by a significant margin at the same time the asset's price is almost a random walk. The example has a dual interpretation as a co…
Variance Bounds in a Simple Model of Asset Pricing
This paper presents a parametric example of a one-asset exchange economy in which the asset price is endogenously determined. It is demonstrated that the volatility of the asset's price uniformly violates the theoretical upper bound implied by the present value relation. In addition, the variance bounds may be violated by a significant margin at the same time the asset's price is almost a random walk. The example has a dual interpretation as a co…
Variance Bounds in a Simple Model of Asset Pricing
This paper presents a parametric example of a one-asset exchange economy in which the asset price is endogenously determined. It is demonstrated that the volatility of the asset's price uniformly violates the theoretical upper bound implied by the present value relation. In addition, the variance bounds may be violated by a significant margin at the same time the asset's price is almost a random walk. The example has a dual interpretation as a co…
Arbitrage pricing theory (1 work) · Asset (computer security (1 work) · Basis risk (1 work) · Capital asset pricing model (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Consumption (sociology (1 work) · Consumption-based capital asset pricing model (1 work) · Econometrics (1 work) · Economic theories and models (1 work)