Stochastic Discount Factor Model
GPTKB entity
Statements (30)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_technology
|
| gptkbp:alsoKnownAs |
pricing kernel
|
| gptkbp:appliesTo |
financial markets
securities |
| gptkbp:assumes |
rational expectations
market completeness |
| gptkbp:category |
mathematical finance
asset pricing theory |
| gptkbp:describes |
relationship between risk and return
|
| gptkbp:field |
economics
finance |
| gptkbp:form |
random variable
E[m*R]=1, where m is the stochastic discount factor and R is the gross return |
| gptkbp:hasConcept |
discounting future payoffs
|
| https://www.w3.org/2000/01/rdf-schema#label |
Stochastic Discount Factor Model
|
| gptkbp:introduced |
gptkb:Stephen_Ross
|
| gptkbp:introducedIn |
1978
|
| gptkbp:relatedTo |
gptkb:fundamental_theorem_of_asset_pricing
gptkb:CAPM gptkb:arbitrage_pricing_theory risk-neutral pricing consumption-based asset pricing model no-arbitrage condition state price density |
| gptkbp:usedFor |
asset pricing
|
| gptkbp:usedIn |
derivative pricing
bond pricing equity pricing |
| gptkbp:bfsParent |
gptkb:Asset_Pricing
|
| gptkbp:bfsLayer |
7
|