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Heterogeneous beliefs and the cross-section of asset returns

He, Xue-zhong; Shi, Lei - 2012

Persistent link: https://www.econbiz.de/10009564462

A representative agent asset pricing model with heterogeneous beliefs and recursive utility

Suzuki, Masataka - In: International review of economics & finance : IREF 45 (2016), pp. 298-315

Persistent link: https://www.econbiz.de/10011626381

An intergenerational cross-country swap

Padovani, Miret; Vanini, Paolo - 2009

economic development and with different long-term challenges. This 30-year-long swap is structured in such a way to capture the … today to pay for educational, technological, and other infrastructural services. To price the swap, we apply an exponential …

Persistent link: https://www.econbiz.de/10003970417

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356

Central bank swaps and joint exchange rate interventions rescued global finance in 1982 - 85, again in 2006 - 09 : historical, laboratory and theoretical evidence for a single curr...

Pope, Robin; Selten, Reinhard - In: Stabilising an unequal economy? : public debt, …, (pp. 245-277). 2011

Persistent link: https://www.econbiz.de/10009426393

VarGamma stresstests

Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107

Persistent link: https://www.econbiz.de/10009763897

Risk aversion heterogeneity and the investment-uncertainty relationship : a closed-form formulation

Femminis, Gianluca - In: Rivista internazionale di scienze sociali 122 (2014) 3, pp. 275-300

Persistent link: https://www.econbiz.de/10010483874

Hedging with small uncertainty aversion

Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - 2016

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...

Persistent link: https://www.econbiz.de/10011410718

Forecast evaluation in the presence of unobserved volatility

Christodoulakis, George A.; Satchell, Stephen - In: Econometric reviews 23 (2004) 3, pp. 175-198

Persistent link: https://www.econbiz.de/10002263007

Recursive utility, endogenous growth, and the welfare cost of volatility

Epaulard, Anne; Pommeret, Aude - In: Review of economic dynamics 6 (2003) 3, pp. 672-684

Persistent link: https://www.econbiz.de/10001777514