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Asset-pricing models and economic risk premia: A decomposition

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the...

Persistent link: https://www.econbiz.de/10010397680

Asset pricing models and economic risk premia : a decomposition

Balduzzi, Pierluigi; Robotti, Cesare - In: Journal of empirical finance 17 (2010) 1, pp. 54-80

Persistent link: https://www.econbiz.de/10003943937

Banks' market valuations and firms' decisions : lessons from two crises

Balduzzi, Pierluigi; Brancati, Emanuele; Schiantarelli, … - 2013

Persistent link: https://www.econbiz.de/10009767455

Heterogeneity in target-date funds and the Pension Protection Act of 2006

Balduzzi, Pierluigi; Reuter, Jonathan - 2012

Persistent link: https://www.econbiz.de/10009516798

Asset-pricing models and economic risk premia : a decomposition

Balduzzi, Pierluigi (contributor); … - 2005

The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the...

Persistent link: https://www.econbiz.de/10003115603

Minimum-variance kernels, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare - 2001

Persistent link: https://www.econbiz.de/10001630681

Portfolio choice and trading in a large 401 (k) plan

Agnew, Julie; Balduzzi, Pierluigi; Sundén, Annika E. - In: The American economic review 93 (2003) 1, pp. 193-215

Persistent link: https://www.econbiz.de/10001767342

Predictability and transaction costs : the impact on rebalancing rules and behavior

Lynch, Anthony W.; Balduzzi, Pierluigi - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2285-2309

Persistent link: https://www.econbiz.de/10001524436

A simple approach to three-factor affine term structure models

Balduzzi, Pierluigi (contributor) - In: The journal of fixed income 6 (1996) 3, pp. 43-53

Persistent link: https://www.econbiz.de/10001214258

A model target changes and the term structure of interest rates

Balduzzi, Pierluigi - In: Journal of monetary economics 39 (1997) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10001224489

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