Hansen, Lars Peter; Scheinkman, José A. - Université Paris-Dauphine (Paris IX) - 2008
We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous … eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long … components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk …
