Twisted probabilities, uncertainty, and prices
Year of publication: |
2020
|
---|---|
Authors: | Hansen, Lars Peter ; Szőke, Bálint ; Han, Lloyd S. ; Sargent, Thomas J. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 216.2020, 1, p. 151-174
|
Subject: | Asset prices | Exponential quadratic stochastic discount factor | Relative entropy | Risk | Robustness | Uncertainty | Risiko | CAPM | Entropie | Entropy | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium |
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