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Volatility of the stochastic discount factor, and the distinction between risk-neutral and objective probability measures

Bakshi, Gurdip S. (contributor); Chen, Zhiwu (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002569963

Financial innovation and arbitrage pricing in frictional economies

Chen, Zhiwu - In: Journal of economic theory 65 (1995) 1, pp. 117-135

Persistent link: https://www.econbiz.de/10001178541

Viable costs and equilibrium prices in frictional securities

Chen, Zhiwu - In: Annals of economics and finance 2 (2001) 2, pp. 297-323

Persistent link: https://www.econbiz.de/10001732279

An empirical investigation of asset pricing models using Japanese stock market data

Bakshi, Gurdip S. - In: Journal of international money and finance 16 (1997) 1, pp. 81-112

Persistent link: https://www.econbiz.de/10001219111

Understanding the sources of risk underlying the cross section of commodity returns

Bakshi, Gurdip S.; Gao, Xiaohui; Rossi, Alberto - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 619-641

Persistent link: https://www.econbiz.de/10012000721

Studying the implications of consumption and asset return data for stochastic discount factors in incomplete international economies

Bakshi, Gurdip S.; Cerrato, Mario; Crosby, John - 2017

Persistent link: https://www.econbiz.de/10011583440

Spanning and derivative-security valuation

Bakshi, Gurdip S.; Madan, Dilip B. - In: Journal of financial economics 55 (2000) 2, pp. 205-238

Persistent link: https://www.econbiz.de/10001448505

Markowitz models of portfolio selection : the inverse problem

Hartley, Michael J.; Bakshi, Gurdip S. - In: Advances in investment analysis and portfolio … 7 (2000), pp. 55-89

Persistent link: https://www.econbiz.de/10001542584

Variance bounds on the permanent and transitory components of stochastic discount factors

Bakshi, Gurdip S.; Chabi-Yo, Fousseni - 2011

In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset...

Persistent link: https://www.econbiz.de/10009507305

Variance bounds on the permanent and transitory components of stochastic discount factors

Bakshi, Gurdip S.; Chabi-Yo, Fousseni - In: Journal of financial economics 105 (2012) 1, pp. 191-208

Persistent link: https://www.econbiz.de/10009622426