Three Solutions to the Pricing Kernel Puzzle*
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Publication:4554078
DOI10.1093/rof/rfs008zbMath1417.91566OpenAlexW3124034093MaRDI QIDQ4554078
Christian Reichlin, Thorsten Hens
Publication date: 7 November 2018
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/633d7c90dd28cdd21de933f3e45c50ee138831e9
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Related Items (10)
Option augmented density forecasts of market returns with monotone pricing kernel ⋮ The shape of small sample biases in pricing kernel estimations ⋮ Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ The pricing kernel puzzle: survey and outlook ⋮ Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set ⋮ Rationalizing investors' choices ⋮ Optimal payoffs under state-dependent preferences ⋮ Competitive equilibria in a comonotone market ⋮ Functional Ross recovery: theoretical results and empirical tests ⋮ NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING
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