| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12650 |
| 来源ID | Working Paper 12650 |
| Long Term Risk: An Operator Approach | |
| Lars Peter Hansen; Jose Scheinkman | |
| 发表日期 | 2006-10-31 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We create an analytical structure that reveals the long run risk-return relationship for nonlinear continuous time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. This family forms a semigroup whose members are indexed by the elapsed time between payoff and valuation dates. We represent the semigroup using a positive process with three components: an exponential term constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long run approximation, and the eigenfunction gives the long run dependence on the Markov state. We establish existence and uniqueness of the relevant eigenvalue and eigenfunction. By showing how changes in the stochastic growth components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk return tradeoff. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12650 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570312 |
| 推荐引用方式 GB/T 7714 | Lars Peter Hansen,Jose Scheinkman. Long Term Risk: An Operator Approach. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12650.pdf（349KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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