Exhaustibility and Risk as Asset Class Dimensions: A Social Investor Approach to Capital-Resource Economies

摘要: This paper develops a framework in which asset class dimensions are extended to include both risk and exhaustibility for explaining the evolution of shadow prices marginal units exhaustible natural resources capital-resource economies. It is shown that pricing kernel function required socially valuing resource, hereafter called Exhaustion-Stochastic Discount Factor, combines factor discounts another resource exhaustion over time. The social rate return on unit stock adds risk-premium an premium accounts depletion In this setting, principle no-arbitrage holds by extending asset-class not only dimension but also dimension.