Notes on Multiperiod Valuation and the Pricing of Options
从状态偏好模型出发，推导出扩散过程极限下的均值-方差风险收益权衡关系，以总消费为关键变量，并比较了该模型与其他模型在通用性和可操作性上的差异，同时探讨了随机利率在一般均衡和套利估值模型中的应用。
ABSTRACT A mean‐variance risk‐return tradeoff relationship is derived for the diffusion process limiting case of a state‐preference model, with aggregate consumption serving as a pivotal variable. The model is compared to other recent models along the dimensions of generality and tractable implementation. The incorporation of stochastic interest rates in general equilibrium and arbitrage‐based valuation models is examined, and an extension to earlier methods is discussed, in connection with the implementation of “robust” general valuation procedures.