Drift and the Risk-Free Rate
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-19, 19 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-08-28
Country of Publication
Egypt
No. of Pages
19
Main Subjects
Abstract EN
It is proven, under a set of assumptions differing from the usual ones in the unboundedness of the time interval, that, in an economy in equilibrium consisting of a risk-free cash account and an equity whose price process is a geometric Brownian motion on [0,∞), the drift rate must be close to the risk-free rate; if the drift rate μ and the risk-free rate r are constants, then r=μ and the price process is the same under both empirical and risk neutral measures.
Contributing in some degree perhaps to interest in this mathematical curiosity is the fact, based on empirical data taken at various times over an assortment of equities and relatively short durations, that no tests of the hypothesis of equality are rejected.
American Psychological Association (APA)
Gadidov, Anda& Spruill, M. C.. 2011. Drift and the Risk-Free Rate. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-19.
https://search.emarefa.net/detail/BIM-483736
Modern Language Association (MLA)
Gadidov, Anda& Spruill, M. C.. Drift and the Risk-Free Rate. Journal of Probability and Statistics No. 2011 (2011), pp.1-19.
https://search.emarefa.net/detail/BIM-483736
American Medical Association (AMA)
Gadidov, Anda& Spruill, M. C.. Drift and the Risk-Free Rate. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-19.
https://search.emarefa.net/detail/BIM-483736
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-483736