Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099284 | Journal of Economic Dynamics and Control | 2007 | 20 Pages |
Abstract
We derive a link between assets and interest rates in a standard multi-asset diffusion economy from two structural assumptions-one on the volatility and one on the short rate function. Our main result is economically intuitive and testable from data since it only involves empirically observable quantities. A preliminary study illustrates how this could be done.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Oliver ReiÃ, John Schoenmakers, Martin Schweizer,