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SSRNAsset Pricing & Factors

Production-Based Asset Pricing with Sensitivity Function

The article introduces a new equilibrium model with a unique habit sensitivity function and nonconvex adjustment costs, explaining aggregate and individual asset prices and investment rates through significant volatility in marginal utility, and provides computational benefits for expected returns considering aggregate risks.

Featured in No. 64 on 5 Sep 2024 · 38 days after release

Released
29 Jul 2024
First featured
No. 64 · 5 Sep 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4943342

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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