北大光华资产定价讲义LectLUCAS.pdfVIP

PStoPDF trial version. Doctoral Seminar in Asset Pricing (Three) The Lucas Asset Pricing Model and the Equity Premium Puzzle 1. Introduction We have established relations between state prices, no-arbitrage, and agent optimiza- tion. Although all these analysis is based on discrete state spaces, the results are actually very general. We have also shown that individual agents use the same state prices to price