| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12665 |
| DP12665 Generalized Recovery | |
| Lasse Heje Pedersen; David Lando | |
| 发表日期 | 2018-01-29 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is feasible, our model is easy to implement, allowing a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return and other recovered statistics. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing theory Financial economics Pricing kernel Risk aversion |
| URL | https://cepr.org/publications/dp12665 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541477 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen,David Lando. DP12665 Generalized Recovery. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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