Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
Year of publication: |
2010-06
|
---|---|
Authors: | Bonomo, Marco ; Garcia, René ; Meddahi, Nour ; Tédongap, Roméo |
Institutions: | Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE) |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in The Review of Financial Studies, vol. 24, n°1, 2011, p. 82-122. The text is part of a series IDEI Working Paper Number 636 |
Classification: | G1 - General Financial Markets ; G12 - Asset Pricing ; G11 - Portfolio Choice ; C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling |
Source: |
-
Asymmetry Matters : A High-Frequency Risk-Reward Trade-Off
Breckenfelder, Johannes, (2012)
-
Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs
Ormos, Mihály, (2011)
-
Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices
Bonomo, Marco, (2013)
- More ...
-
Generalized disappointment aversion, long-run volatility risk and asset prices
Bonomo, Marco Antonio, (2010)
-
Generalized disappointment aversion, long-run volatility risk, and asset prices
Bonomo, Marco Antonio, (2011)
-
The long and the short of the risk-return trade-off
Bonomo, Marco Antonio, (2015)
- More ...