Certainty equivalent, risk premium and asset pricing
نویسندگان
چکیده
منابع مشابه
Zhiqiang Zhang Certainty Equivalent , Risk Premium and Asset
This paper attempts to determine the certainty equivalent of an uncertain future cash flow or value through the option pricing method, and builds models of certainty equivalent and certainty equivalent coefficient. Based on the model of certainty equivalent coefficient, this paper further derives models of risk premium and risk-adjusted discount rate. The latter is a new capital asset pricing m...
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ژورنال
عنوان ژورنال: Frontiers of Business Research in China
سال: 2010
ISSN: 1673-7326,1673-7431
DOI: 10.1007/s11782-010-0015-1