Faculty of Commerce and Business Administration, The University of British Columbia. A previous version of this paper titled “Identifying the Utility Function Corresponding to a Given Stock Price Process” was presented at the Western Finance Association meetings (1986). With the usual caveat, I thank Darrel Duffie, David Feldman, Farshid Jamashidian, Andrew Lo, Bernt Øksendal, Haim Reisman, and participants in seminars at NYU, the Hebrew University of Jerusalem, Haifa University, Tel Aviv University, Carnegie-Mellon University, the Wharton School, the University of Houston, and UBC for their helpful comments. Valuable suggestions by an anonymous referee and by the editor, René Stulz, have helped to improve the paper.
On Viable Diffusion Price Processes of the Market Portfolio
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 2, pages 673–689, June 1990
How to Cite
BICK, A. (1990), On Viable Diffusion Price Processes of the Market Portfolio. The Journal of Finance, 45: 673–689. doi: 10.1111/j.1540-6261.1990.tb03711.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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