Search Results - subject:"pricing kernels"

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

Arbitrage pricing theory for idiosyncratic variance factors

Renaut, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of financial econometrics 21 (2023) 5, pp. 1403-1442

Persistent link: https://www.econbiz.de/10014444683

An Empirical Test of Pricing Kernel Monotonicity

Beare, Brendan K.; Schmidt, Lawrence - Department of Economics, University of California-San … - 2011

A recent literature in finance concerns a curious recurring feature of estimated pricing kernels. Classical theory …

Persistent link: https://www.econbiz.de/10010817543

Securities Pricing with Information-Sensitive Discounting

Macrina, Andrea; Parbhoo, Priyanka A. - Institute of Economic Research, Kyoto University - 2010

information-sensitive pricing kernels to give rise to stochastic interest rates. Semi-analytical expressions for the price of … process is employed to develop pricing kernels that respond to the amount of aggregate debt of an economy. …

Persistent link: https://www.econbiz.de/10008516755

Discrete-Time Interest Rate Modelling

Hughston, Lane P.; Macrina, Andrea - Institute of Economic Research, Kyoto University - 2010

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and pro- vides a link to equilibrium economics. We require that the pricing kernel be consistent with a pair of axioms, one giving the...

Persistent link: https://www.econbiz.de/10008476200

Quantifizierbarkeit von Risiken auf Finanzmärkten

Härdle, Wolfgang Karl; Kirchner, Christian F. W. - 2009

Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe Kapitalrendite mit geringem Risiko verbinden ließe, wenn man nur die...

Persistent link: https://www.econbiz.de/10010270820

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies … reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally … of the empirical pricing kernels. The approach is based on shape invariant models. It captures the common features …

Persistent link: https://www.econbiz.de/10010274190

Quantifizierbarkeit von Risiken auf Finanzmärkten

Härdle, Wolfgang Karl; Kirchner, Christian Friedrich … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Persistent link: https://www.econbiz.de/10008479244

Time dependent relative risk aversion

Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang Karl - 2006

changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined …

Persistent link: https://www.econbiz.de/10010274116

Time Dependent Relative Risk Aversion

Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang K. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined … changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined … maturities. JEL classifications: C 13, C 22, G12 Keywords: risk aversion, pricing kernels, time dependent preferences …

Persistent link: https://www.econbiz.de/10005677974