Horizon Risk and Asset Pricing.

This paper presents an equilibrium asset pricing model with incomplete information on returns and agents' utility. Only some moments of the returns distributions are observable, and investors associate a return's riskness to the time required for its mean to converge around its expectation, which they measure through Chebyshev-type inequalities.

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Year of publication:	1999
Authors:	Hubner, G.
Institutions:	Marshall School of Business, University of Southern California
Subject:	FINANCIAL MARKET \| PRICES \| RISK

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Series:	Southern California - School of Business Administration.
Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005656795