Economic implications of nonlinear pricing kernels
Caio Almeida, René Garcia
| Year of publication: |
October 2017
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|---|---|
| Authors: | Almeida, Caio ; Garcia, René |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 10, p. 3361-3380
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| Subject: | stochastic discount factors | information-theoretic bounds | robustness | minimum contrast estimators | implicit utility maximizing weights | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Diskontierung | Discounting | CAPM | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2498 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011760496