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Revealing the implied risk-neutral MGF from options : the wavelet method

Haven, Emmanuel E.; Liu, Xiaoquan; Ma, Chenghu; Ma, Chenghu - In: Journal of economic dynamics & control 33 (2009) 3, pp. 692-709

Persistent link: https://www.econbiz.de/10003817991

Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps

Ma, Chenghu - In: Journal of mathematical economics 42 (2006) 2, pp. 131-160

Persistent link: https://www.econbiz.de/10003310857

A discrete-time intertemporal asset pricing model : GE approach with recursive utility

Ma, Chenghu - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 249-275

Persistent link: https://www.econbiz.de/10001245920

w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps

Ma, Chenghu - In: Risk and decision analysis 2 (2010/11) 4, pp. 221-236

Persistent link: https://www.econbiz.de/10009537819

Self-production, friction, and risk sharing against disasters : evidence from a developing country

Sawada, Yasuyuki; Nakata, Hiroyuki; Kotera, Tomoaki - 2011

This paper uses a unique household data set collected in Vietnam to empirically test the necessary conditions for an extended version of the consumption risk-sharing hypothesis. The test explicitly incorporates self-production and uses natural disasters such as avian influenza, droughts, and...