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An important challenge worthy of NSF support is to quantify systemic financial risk. There are at least three major components to this challenge: modeling, measurement, and data accessibility. Progress on this challenge will require extending existing research in many directions and will require...
Persistent link: https://www.econbiz.de/10014179907
measures that are well known in mathematical finance. We apply a generalized version of Perron-Frobenius theory to construct …
Persistent link: https://www.econbiz.de/10013007552
ambiguity, he uses a max-min criterion to evaluate alternative plans. We use this decision theory to construct competitive …
Persistent link: https://www.econbiz.de/10012955704
We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are...
Persistent link: https://www.econbiz.de/10012906129
I explore methods that characterize model-based valuation of stochastically growing cash flows. Following previous research, I use stochastic discount factors as a convenient device to depict asset values. I extend that literature by focusing on the impact of compounding these discount factors...
Persistent link: https://www.econbiz.de/10014025355
We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are...
Persistent link: https://www.econbiz.de/10013154476
We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)
Persistent link: https://www.econbiz.de/10013048614
measures that are well known in mathematical finance. We apply a generalized version of Perron-Frobenius theory to construct …
Persistent link: https://www.econbiz.de/10013063951
methods draw on insights from decision theory to engage in uncertainty quantification and sensitivity analysis. Uncertainty …
Persistent link: https://www.econbiz.de/10013216015
Persistent link: https://www.econbiz.de/10008666441