Variance Bounds in a Simple Model of Asset Pricing
构建了一个单资产交换经济的参数例子，其中资产价格内生决定，并证明资产价格波动性一致违反现值关系隐含的理论上界，同时方差界可能被大幅违反而价格接近随机游走。
This paper presents a parametric example of a one-asset exchange economy in which the asset price is endogenously determined. It is demonstrated that the volatility of the asset's price uniformly violates the theoretical upper bound implied by the present value relation. In addition, the variance bounds may be violated by a significant margin at the same time the asset's price is almost a random walk. The example has a dual interpretation as a consumption function, and under this interpretation it is demonstrated that the permanent-income hypothesis does not necessarily restrict the time-series properties of consumption.