Long-term risk : a martingale approach
Year of publication: |
January 2017
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Authors: | Qin, Likuan ; Linetsky, Vadim |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 85.2017, 1, p. 299-312
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Subject: | Stochastic discount factor | pricing kernel | long-term factorization | long bond | long forward measure | long-term risk-neutral measure | principal eigenfunction | Optionspreistheorie | Option pricing theory | CAPM | Zinsstruktur | Yield curve | Diskontierung | Discounting | Messung | Measurement | Martingal | Martingale | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Risiko | Risk |
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