The impact of fat tails on equilibrium rates of return and term premia

DOI10.1016/J.JEDC.2006.03.001MaRDI QIDQ1017010zbMATH OpenOpenAlexFDO

Authors Prasad V. Bidarkota, Brice V. Dupoyet

Publication date 18 May 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1027.7621

zbMATH Keywords

asset-pricing modeldampened power lawequity premiumfat tailshabit formationterm premium

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• The impact of fat tailed returns on asset allocation
• Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
• A long-run risks model of asset pricing with fat tails
• The term structure of equity and variance risk premia
• PORTFOLIO THEORY FOR "FAT TAILS"
• The skewness risk premium in equilibrium and stock return predictability
• The term structure of equity premia and the macroeconomy: some results
• The Term Structure of Equity Risk Premia: Levered Noise and New Estimates

Cites work

• A note on some limitations of CRRA utility
• Asset Prices in an Exchange Economy
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Stable modeling of value at risk
• The pricing of options and corporate liabilities
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

Cited in

(6)

• Asset pricing with incomplete information and fat tails
• A path integral based model for stocks and order dynamics
• A model for stocks dynamics based on a non-Gaussian path integral
• A long-run risks model of asset pricing with fat tails
• Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
• Pricing of the time-change risks

This page was built for publication: The impact of fat tails on equilibrium rates of return and term premia

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1017010)