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

term premiumfat tailshabit formationequity premiumasset-pricing modeldampened power law

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)

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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)

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

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