Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We...

Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We...

Recursive utility models of the type introduced by Kreps and Porteus (1978) are used extensively in applied research in macroeconomics and asset pricing in environments with uncertainty. These models represent preferences as the solution to a nonlinear forward-looking difference equation with a...

Recursive utility models of the type introduced by Kreps and Porteus (1978) are used extensively in applied research in macroeconomics and asset pricing in environments with uncertainty. These models represent preferences as the solution to a nonlinear forward-looking difference equation with a...