Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing

DOI10.1016/J.JEDC.2018.08.010MaRDI QIDQ1624115zbMATH OpenOpenAlexFDO

Authors Christian Gollier

Publication date 15 November 2018

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

Full work available at URL http://publications.ut-capitole.fr/26239/1/stoch6.pdf

zbMATH Keywords

edginessfourth-degree risk dominancekurtosis ratiolong run risksrecursive utilitytemperance

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
• An exploration of the effects of pessimism and doubt on asset returns.
• Consistency of higher order risk preferences
• Consumption-based asset pricing with higher cumulants
• Macro-Finance*
• Proper prudence, standard prudence and precautionary vulnerability
• Risk Vulnerability and the Tempering Effect of Background Risk
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• The comparative statics of changes in risk revisited

Cited in

(4)

• Solving asset pricing models with stochastic volatility
• Variance stochastic orders
• A general theory of risk apportionment
• Fraction-degree reference dependent stochastic dominance

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