The Equilibrium Distributions of Value for Risky Stocks and Bonds /
Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double exp...
| Main Author: | |
|---|---|
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2001.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2001/039 |
| Online Access: | Full text available on IMF |