Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
Year of publication: |
2023
|
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Authors: | Dierkes, Maik ; Krupski, Jan ; Schroen, Sebastian ; Sibbertsen, Philipp |
Published in: |
Review of Derivatives Research. - New York, NY : Springer US, ISSN 1573-7144. - Vol. 27.2023, 1, p. 1-35
|
Publisher: |
New York, NY : Springer US |
Subject: | Volatility | Probability weighting | Pricing kernel puzzle | Risk preferences |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/s11147-023-09197-3 [DOI] |
Classification: | G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; g41 |
Source: |
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