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~institution:"Institute for Financial Research (SIFR)"
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Cosumption-based asset pricing
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habit persistence
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idiosyncratic risk
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multivariate GARCH
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recursive utility
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Söderlind, Paul
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Institute for Financial Research (SIFR)
Department of Agricultural and Resource Economics, University of California-Berkeley
9
Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH)
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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C.E.P.R. Discussion Papers
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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CESifo
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
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Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance
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Society for Economic Dynamics - SED
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Swiss Finance Institute
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University of Rochester - Center for Economic Research (RCER)
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Agricultural and Applied Economics Association - AAEA
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Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
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Barcelona Graduate School of Economics (Barcelona GSE)
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Becker Friedman Institute for Research in Economics, University of Chicago
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CER-ETH Center of Economic Research, Department of Management, Technology and Economics (D-MTEC)
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Collegio Carlo Alberto, Università degli Studi di Torino
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Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics, Boston University
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Department of Management, Technology and Economics (D-MTEC), Eidgenössische Technische Hochschule Zürich (ETHZ)
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Duke University, Department of Economics
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SIFR Research Report Series
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C-CAPM and the Cross-Section of Sharpe Ratios
Söderlind, Paul
-
Institute for Financial Research (SIFR)
-
2003
CRRA model and several extensions (habit persistence,
recursive
utility
and idiosyncratic shocks) all imply that the Sharpe …
Persistent link: https://www.econbiz.de/10005190934
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