A Differential Game with Investment in Transport and Communication R&D.

Colombo, Luca ; Lambertini, Luca ; Mantovani, Andrea (2003) A Differential Game with Investment in Transport and Communication R&D. Bologna: Dipartimento di Scienze economiche DSE, DOI 10.6092/unibo/amsacta/4828. In: Quaderni - Working Paper DSE (466). ISSN 2282-6483.
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Abstract

In this paper we propose a simple, intuitive approach to asset valuation in terms of marginal contributions to the characteristics (moments) of the market portfolio. Considering only the first two moments, mean and variance, the valuation equation is shown to correspond to Sharpe’s CAPM. A risk-neutral pricing formula is easily derived, showing the equivalence between CAPM and the Black and Scholes’ model. Extensions to higher moments like skewness and kurtosis are straightforward, providing a generalized valuation equation. Finally, the generalized equation is derived in a different, more rigorous way, as a result of a classical intertemporal general equilibrium model.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Colombo, Luca
Lambertini, Luca
Mantovani, Andrea
Keywords
R&D, differential games, transport and communication costs.
Subjects
ISSN
2282-6483
DOI
Deposit date
10 Mar 2016 10:34
Last modified
10 Mar 2016 10:34
URI

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