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Portfolio Choice and Asset Pricing with Nontraded Assets
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1988 (English)Report (Other academic)
Abstract [en]

This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance when a country cannot trade claims to its output on world capital markets, when a government cannot trade claims to future tax revenues, or when an individual cannot trade claims to his future wages. The close relation between portfolio choice with and implicit pricing of nontraded assets is emphasized. A variant of Cox, Ingersoll and Ross's Fundamental Valuation Equation is derived and used to interpret the optimal portfolio. Explicit solutions are presented to the portfolio and pricing problem for some special cases, including when income from the nontraded assets is a diffusion process, not spanned by traded assets, and affected by a state variable.

Place, publisher, year, edition, pages
Stockholm: IIES , 1988. , 36 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 417
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41604OAI: oai:DiVA.org:su-41604DiVA: diva2:331576
Available from: 2010-07-23 Created: 2010-07-23 Last updated: 2010-07-23Bibliographically approved

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fulltext(5458 kB)300 downloads
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Svensson, Lars E.O.
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf