Kan, Raymond; Robotti, Cesare - Federal Reserve Bank of Atlanta - 2008
. Define an SDF as
m
0
=
R
p
∗
bardblR
p
∗bardbl
2
=
1−(µ−R
0
1
N
)
prime
V
−1
(R−µ)
R
0
, (9)
where bardblXbardbl = E[X
2
]
1 …
Γ
parenleftbig
T−N
2
parenrightbig
1
F
1
parenleftbigg
−
r
2
;
N
2
;−
Tθ
2
0
2
parenrightbigg
, (48)
where Γ(x) is the … gamma function and
1
F
1
(a;b;x) is the confluent hypergeometric function. When
r/2 is a nonnegative integer, we have
E[
ˆ
θ …