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A long-run rsiks model of asset pricing with fat tails
Wang, Zhiguang; Bidarkota, Prasad V. - In: Review of finance : journal of the European Finance … 14 (2010) 3, pp. 409-449
Persistent link: https://www.econbiz.de/10008662615
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Higher moments and beta asymmetry : evidence from Australia
Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807
Persistent link: https://www.econbiz.de/10011348087
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Price-dividend ratio factor proxies for long-run risks
Jagannathan, Ravi; Marakani, Srikant - In: Review of asset pricing studies 5 (2015) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10011318437
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Insights to systematic risk and diversification across a joint probability distribution
Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150
Persistent link: https://www.econbiz.de/10011457218
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Skewness and the relation between risk and return
Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609
Persistent link: https://www.econbiz.de/10011502439
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Multivariate partial distribution : a new method of pricing group assets and analyzing the risk for hedging
Dai, Feng; Liu, Hui; Wang, Ying - 2005
, the integrated risk of group assets can be divided to hedging risk and independent risk, and the corresponding models are … given. So we could analyze the price risk of group assets in more particular way. The conclusions show that assets are … hedged in simple way of one to one can not eliminates completely their market risk in many cases. So there should be an …
Persistent link: https://www.econbiz.de/10011513103
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …
Persistent link: https://www.econbiz.de/10010490408
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Calculation of Bayes premium for conditional elliptical risks
Kume, Alfred; Hashorva, Enkelejd - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 632-635
Persistent link: https://www.econbiz.de/10009683202
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Conditions for constant risk adjusted discount rates and alternatives to determine certainty equivalents in binomial models
Richter, Frank - 1999
Persistent link: https://www.econbiz.de/10001484805
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A Long Run Risks Model of Asset Pricing with Fat Tails
Wang, Zhiguang - 2011
implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. The model … with fat tails leads to a significant increase in implied risk premia over the benchmark Gaussian model, but similar risk …
Persistent link: https://www.econbiz.de/10013122690