Add to ORKGAppendix A.1. The stochastic discount factor, risk-free rates, and market prices of risk Suppose the continuous-time analog of Epstein-Zin-Weil preferences of stochastic differential utility type (e.g., Duffie and Epstein 1992a, Duffie and Epstein 1992b). The utility index Ut over a consumption process Cs solve
The dissertation consists of three chapters that represent separate papers in the area of asset pric...
Abstract: The paper analyzes the consumption-based asset-pricing problems on a dynamic ris
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arb...
This internet appendix contains supplemental materials for the published article. It is organized as...
In this entry we characterize pricing kernels or stochastic discount factors that are used to repres...
In this paper we introduce the notion of a marginal stochastic dis-count factor for an asset. This i...
Latent variable models in finance originate both from asset pricing theory and time series analysis....
All existing asset pricing models imply a monotonically decreasing marginal utility function in ‘sta...
This Internet Appendix for Learning about Consumption Dynamics contains addi-tional information abo...
This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, wh...
Intertemporal preferences are di ¢ cult to measure. We estimate time preferences using a structural ...
There is a single, exogenous, stochastic, and perishable endowment good. The endowment grows at the ...
The first essay of this thesis is concerned with the pricing of financial assets in positive net sup...
Intertemporal preferences are di¢cult to measure. We estimate time preferences using a structural bu...
Abstract: Compound utility theory (CUT) o¤ers an alternative to prospect theory, modelling nonlinear...
The dissertation consists of three chapters that represent separate papers in the area of asset pric...
Abstract: The paper analyzes the consumption-based asset-pricing problems on a dynamic ris
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arb...
This internet appendix contains supplemental materials for the published article. It is organized as...
In this entry we characterize pricing kernels or stochastic discount factors that are used to repres...
In this paper we introduce the notion of a marginal stochastic dis-count factor for an asset. This i...
Latent variable models in finance originate both from asset pricing theory and time series analysis....
All existing asset pricing models imply a monotonically decreasing marginal utility function in ‘sta...
This Internet Appendix for Learning about Consumption Dynamics contains addi-tional information abo...
This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, wh...
Intertemporal preferences are di ¢ cult to measure. We estimate time preferences using a structural ...
There is a single, exogenous, stochastic, and perishable endowment good. The endowment grows at the ...
The first essay of this thesis is concerned with the pricing of financial assets in positive net sup...
Intertemporal preferences are di¢cult to measure. We estimate time preferences using a structural bu...
Abstract: Compound utility theory (CUT) o¤ers an alternative to prospect theory, modelling nonlinear...
The dissertation consists of three chapters that represent separate papers in the area of asset pric...
Abstract: The paper analyzes the consumption-based asset-pricing problems on a dynamic ris
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arb...