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Ambiguity, Long-Run Risks, and Asset Prices

Wei, Bin - 2019

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

Persistent link: https://www.econbiz.de/10012896734

Charity auctions as assets : theory and simulations of fundraising risk management in mean-variance space

Foster, Joshua; Haley, M. Ryan - In: Socio-economic planning sciences : the international … 83 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013363696

Return time leniency in online retail : a signaling theory perspective on buying outcomes

Rao, Shashank; Lee, Kang Bok; Connelly, Brian; Iyengar, … - In: Decision sciences : DS 49 (2018) 2, pp. 275-305

Persistent link: https://www.econbiz.de/10011883547

Portfolio choices : comparative statics under both expected return and volatility uncertainty

Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035

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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

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Financial and non-financial risk attitudes : what does it matter?

Colasante, Annarita; Riccetti, Luca - In: Journal of behavioral and experimental finance 30 (2021), pp. 1-10

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Bubbles and trading frenzies : evidence from the art market

Penasse, Julien; Renneboog, Luc - 2014

Persistent link: https://www.econbiz.de/10011285010

Do investors overpay for stocks with lottery-like payoffs? : an examination of the returns of OTC stocks

Eraker, Bjørn; Ready, Mark J. - In: Journal of financial economics 115 (2015) 3, pp. 486-504

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Risk preferences, investor sentiment and lottery stocks : a stochastic dominance approach

Fong, Wai-mun - In: The journal of behavioral finance : a publication of … 14 (2013) 1, pp. 42-52

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Ambiguity, risk, and asset returns in continuous time

Chen, Zengjing; Epstein, Larry G. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 4, pp. 1403-1443

Persistent link: https://www.econbiz.de/10001688086

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