Search Results - subject:"Pricing kernel" - EconBiz

The pricing kernel under proportional ambiguity

Spengemann, Marco - 2025

The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences …. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel … puzzle". This article explores the pricing kernel under Knightian uncertainty driven by identifiable business cycles. In a …

Persistent link: https://www.econbiz.de/10015325514

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2025

This paper examines efficient allocations in economies where consumers exhibit heterogeneous smooth ambiguity preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize economies where the representative consumer is of the...

Persistent link: https://www.econbiz.de/10015444995

Long-term risk with stochastic interest rates

Severino, Federico - In: Mathematical finance : an international journal of … 35 (2025) 1, pp. 3-39

Persistent link: https://www.econbiz.de/10015358988

Subjective probability distributions of nonlinear payoffs : Recovering option payoff, agent’s utility, and pricing kernel distributions

Yamazaki, Akira - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015372650

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2025

This paper examines efficient allocations in economies where consumers exhibit heterogeneous smooth ambiguity preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize economies where the representative consumer is of the...

Persistent link: https://www.econbiz.de/10015441120

An information-theoretic asset pricing model

Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - In: Journal of financial econometrics 23 (2025) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10015339156

The pricing kernel under proportional ambiguity

Spengemann, Marco - 2025

The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences …. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel … puzzle". This article explores the pricing kernel under Knightian uncertainty driven by identifiable business cycles. In a …

Persistent link: https://www.econbiz.de/10015192948

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32

Persistent link: https://www.econbiz.de/10015179565

The market cost of business cycle fluctuations

Ghosh, Anisha; Julliard, Christian; Stutzer, Michael J. - 2024

Persistent link: https://www.econbiz.de/10014451870

Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns

Chen, Yuting; Potì, Valerio - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071365

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