dc.contributor.author | Barnett, William A. | |
dc.contributor.author | Liu, Yi | |
dc.contributor.author | Jensen, Mark | |
dc.date.accessioned | 2014-02-28T22:06:39Z | |
dc.date.available | 2014-02-28T22:06:39Z | |
dc.date.issued | 1997-06-01 | |
dc.identifier.citation | Barnett, William A., Liu, Yi, and Jensen, Mark "The CAPM Risk Adjustment for Exact Aggregation over Financial Assets," with Yi Liu and Mark Jensen, Macroeconomic Dynamics, vol 1, no 2, 1997, pp. 485-512. http://dx.doi.org/10.1017/S1365100597003088 | |
dc.identifier.uri | http://hdl.handle.net/1808/13133 | |
dc.description | This is the authors' accepted manuscript. The publisher's version is available electronically from doi:10.1017/S1365100597003088 | |
dc.description.abstract | Barnett originated the Divisia monetary aggregates, which in continuous time exactly track any monetary aggregator function under perfect certainty. With user costs measuring the prices of the services of components, Barnett's aggregates are based on Francois Divisia's derivation of the Divisia line integral from the first-order conditions for optimizing behavior by economic agents under perfect certainty. We derive an extended Divisia index from the first-order conditions (Euler equations) that apply under risk. Our extended Divisia index is the first extension of index number theory into the domain of decision making under risk and thereby produces a route for the extension of all index number theory to permit non-risk-neutrality. We generate simulated data from a modeled rational consumer and investigate the tracking accuracy of the extended Divisia index to the consumer's exact aggregator function. | |
dc.language.iso | en | |
dc.publisher | Cambridge University Press | |
dc.subject | Aggregation | |
dc.subject | Index number theory | |
dc.subject | Risk | |
dc.subject | Capital asset pricing | |
dc.title | CAPM Risk Adjustment for Exact Aggregation Over Financial Assets | |
dc.type | Article | |
kusw.kuauthor | Barnett, William A. | |
kusw.kudepartment | Economics | |
kusw.oastatus | fullparticipation | |
dc.identifier.doi | 10.1017/S1365100597003088 | |
dc.identifier.orcid | https://orcid.org/0000-0002-1280-2663 | |
kusw.oaversion | Scholarly/refereed, author accepted manuscript | |
kusw.oapolicy | This item meets KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess | |