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Valuation of variance forecasts with simulated option markets

Engle, Robert F.; Hong, Che-hsiung T.; Kane, Alex - 1990

Persistent link: https://www.econbiz.de/10000790825

The valuation of security analysis

Kane, Alex; Marcus, Alan J. - 1986

Persistent link: https://www.econbiz.de/10000712444

Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy

Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2014

Persistent link: https://www.econbiz.de/10010394652

Risk aversion and optimal portfolio policies in partial and general equilibrium economies

Kogan, Leonid; Uppal, Raman - 2001

Persistent link: https://www.econbiz.de/10001628686

Is the volatility of the market price of risk due to intermittent portfolio re-balancing?

Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2009

Persistent link: https://www.econbiz.de/10003889788

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010

"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...

Persistent link: https://www.econbiz.de/10003933912

What can rational investors do about excessive volatility and sentiment fluctuations?

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2005

Persistent link: https://www.econbiz.de/10003232674