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Increasing risk aversion and life-cycle investing
Back, Kerry E.; Liu, Ruomeng; Teguia, Alberto - In: Mathematics and financial economics 13 (2019) 2, pp. 287-302
Persistent link: https://www.econbiz.de/10012055804
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Asset pricing and portfolio choice theory
Back, Kerry E. - 2010
Persistent link: https://www.econbiz.de/10008662772
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Asset pricing and portfolio choice theory
Back, Kerry E. - 2017 - Second edition
Persistent link: https://www.econbiz.de/10011452259
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Portfolio turnpikes
Dybvig, Philip H.; Rogers, Leonard C. G.; Back, Kerry E. - In: The review of financial studies 12 (1999) 1, pp. 165-195
Persistent link: https://www.econbiz.de/10001353476
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The Asset Pricing Implications of Plausible Deniability
Back, Kerry; Carlin, Bruce; Kazempour, Seyed Mohammad - 2021
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10013243558
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The Asset Pricing Implications of Plausible Deniability
Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2021
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10012482566
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The Asset Pricing Implications of Plausible Deniability
Back, Kerry; Carlin, Bruce; Kazem Pour, Seyed Mohammad - 2022
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10014237687