In the model of Section 23.4, define X = , Y = 2

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In the model of Section 23.4, define X = μ −θ

γ , Y =

2 − θ

t + logC

σ .

Write down the innovation process, filtering equation, and ODE for the conditional variance of X. Explain why these imply (23.43)–(23.46).

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Asset Pricing And Portfolio Choice Theory

ISBN: 9780190241148

2nd Edition

Authors: Kerry E. Back

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Question Posted: Jul 24, 2024 03:02 AM

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In the model of Section 23.4, define X = , Y = 2

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Asset Pricing And Portfolio Choice Theory

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