School of Business, Indiana University and the Graduate School of Business, Stanford University, respectively. This research has benefited from the helpful comments made by our friends at Dartmouth, Harvard, Stanford, UBC, Wharton, and Yale where this paper was presented. We also thank Wayne Ferson, Allan Kleidon, Paul Pfleiderer, Peter Reiss, Mark Rubinstein, and Ken Singleton for many useful discussions. Of course, all remaining errors are our responsibility. Financial support was provided in part by the Stanford Program in Finance. This work was completed while the second author was a Batterymarch Fellow. Both sources of financial support are gratefully acknowledged.
A Simple Econometric Approach for Utility-Based Asset Pricing Models
Version of Record online: 30 APR 2012
© 1985 the American Finance Association
The Journal of Finance
Volume 40, Issue 2, pages 359–381, June 1985
How to Cite
BROWN, D. P. and GIBBONS, M. R. (1985), A Simple Econometric Approach for Utility-Based Asset Pricing Models. The Journal of Finance, 40: 359–381. doi: 10.1111/j.1540-6261.1985.tb04962.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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