Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
Year of publication: |
2006
|
---|---|
Authors: | Maenhout, Pascal J. |
Published in: |
Journal of economic theory. - Amsterdam : Elsevier, ISSN 0022-0531, ZDB-ID 410539-4. - Vol. 128.2006, 1, p. 136-163
|
Subject: | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Modellierung | Scientific modelling | Theorie | Theory | Mean Reversion | Mean reversion |
-
Intermediary-based equity term structure
Li, Kai, (2024)
-
Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria, (2020)
-
Liquidity Premia, Transaction Costs, and Model Misspecification
Jang, Bong-Gyu, (2015)
- More ...
-
A two-period model of consumption and portfolio choice with incomplete markets
Cocco, João F., (1997)
-
An empirical portfolio perspective on option pricing anomalies
Driessen, Joost, (2007)
-
Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
Cremers, Martijn, (2008)
- More ...