排序方式: 共有13条查询结果,搜索用时 62 毫秒
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Zupko KA 《Medical economics》1992,69(3):117-8, 120-2
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Zupko KA 《Medical economics》1995,72(12):41-46
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Zupko KA 《Medical economics》1994,71(14):75-7, 81-2, 85
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JAROSLAV BOROVIČKA LARS PETER HANSEN JOSÉ A. SCHEINKMAN 《The Journal of Finance》2016,71(6):2493-2544
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk‐adjusted discounting, we use Perron–Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recovers a probability measure that absorbs long‐term risk adjustments. When the martingale is not degenerate, surmising that this recovered probability captures investors' beliefs distorts inference about risk‐return tradeoffs. Stochastic discount factors in many structural models of asset prices have empirically relevant martingale components. 相似文献
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We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein and Zin. The conditions center on a single test value with a natural economic interpretation. The test sheds light on the relationship between valuation of cash flows, impatience, risk adjustment, and intertemporal substitution of consumption. We propose two methods to compute the test value when an analytical solution is not available. We further provide several applications. 相似文献
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