Short-run risk, business cycle, and the value premium
From MaRDI portal
Publication:2246740
DOI10.1016/j.jedc.2020.103993zbMath1475.91329MaRDI QIDQ2246740
Publication date: 16 November 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103993
business cycle; portfolio selection; stochastic covariance; long-run and short-run consumption risk; value premium
91G10: Portfolio theory
Uses Software