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

DOI10.1016/j.jedc.2018.08.010zbMath1402.91157OpenAlexW2888924126MaRDI QIDQ1624115

Christian Gollier

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

recursive utilitytemperanceedginessfourth-degree risk dominancekurtosis ratiolong run risks

Mathematics Subject Classification ID

Related Items (3)

Fraction-degree reference dependent stochastic dominance ⋮ Variance stochastic orders ⋮ A general theory of risk apportionment

Cites Work

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

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