Stephen A. Ross

An Intertemporal General Equilibrium Model of Asset Prices

This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices...

A Theory of the Term Structure of Interest Rates

This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment a...

The valuation of options for alternative stochastic processes

A Re‐examination of Traditional Hypotheses about the Term Structure of Interest Rates

ABSTRACT The term structure of interest rates is an important subject to economists, and has a long history of traditions. This paper re‐examines many of these traditional hypot...

The Economic Theory of Agency: The Principal's Problem.

The relationship of agency is one of the oldest and commonest codified modes of social interaction. We will say that an agency relationship has arisen between two (or more) part...

The arbitrage theory of capital asset pricing

Some Stronger Measures of Risk Aversion in the Small and the Large with Applications

THE ARROW-PRATT MEASURES of risk aversion for von Neumann-Morgenstern utility functions have become workhorses for analyzing problems in the microeconomics of uncertainty. They ...