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

DOI10.1016/J.JEDC.2006.03.001zbMATH Open1163.91528OpenAlexW3122148277MaRDI QIDQ1017010FDOQ1017010

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

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

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)

Cites Work

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

Cited In (6)

• Pricing of the time-change risks
• Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
• 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

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)