Replacing equity return (as in the equity risk premium) with returns on an arbitrary contingent claim, we obtain a new class of economic risk premiums to impose upon candidate models. These risk premiums reflect the distance between the physical and risk-neutral moments for asset returns, can be...

We develop a new approach to determine investors' risk compensations for all distributional moments of a security. Using the concept of entropy, a summary of all moments of a risky security, we derive the relationship between expected returns and their compensation for entropy risk. Entropy risk...

Entropy and entropy-like measures of pricing kernel dispersion emerge as useful tools in asset pricing research. We develop a systematic approach to bounding entropy by incorporating conditioning information. Our bounds feature a fixed-point solution to a dynamic asset allocation problem....