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QR (Quantile Regression) are performed on future returns and risk-returns (volatility), where the independent variables …
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, who are rational on average. We obtain waves of pessimism and optimism that lead to countercyclical market prices of risk … and procyclical risk-free rates. The variance of the state price density is greatly increased. The long run risk …-return relation is modified in particular, the long run market price of risk might be higher than both the instantaneous and the …
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To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …
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To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …
Persistent link: https://www.econbiz.de/10013146813