A martingale theory of asset pricing in a production economy Export

@article{citeulike:120101, abstract = {This paper develops an asset pricing model for a production economy with endogenous labor supply and capital accumulation decision. The martingale valuation equation is found to be compatible with risk aversion for a class of economies with homogeneous utility functions and constant returns to scale technology. These new sufficient conditions for the martingale hypothesis provide a plausible economic environment in which asset prices obey the present value rule.}, author = {Basu, Parantap}, citeulike-article-id = {120101}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0165-4896(90)90002-O}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6V88-45822RV-1M/2/39be22dc8d1fcffe230c835d58c5c145}, doi = {10.1016/0165-4896(90)90002-O}, journal = {Mathematical Social Sciences}, keywords = {asset\_pricing, macroeconomics}, month = {December}, number = {3}, pages = {215--225}, posted-at = {2005-03-10 20:13:09}, priority = {2}, title = {A martingale theory of asset pricing in a production economy}, url = {http://dx.doi.org/10.1016/0165-4896(90)90002-O}, volume = {20}, year = {1990} }

TY - JOUR ID - citeulike:120101 L3 - citeulike-article-id:120101 N2 - This paper develops an asset pricing model for a production economy with endogenous labor supply and capital accumulation decision. The martingale valuation equation is found to be compatible with risk aversion for a class of economies with homogeneous utility functions and constant returns to scale technology. These new sufficient conditions for the martingale hypothesis provide a plausible economic environment in which asset prices obey the present value rule. IS - 3 JF - Mathematical Social Sciences EP - 225 TI - A martingale theory of asset pricing in a production economy VL - 20 SP - 215 KW - asset_pricing KW - macroeconomics AU - Basu, Parantap PY - 1990/12// UR - http://dx.doi.org/10.1016/0165-4896(90)90002-O ER -