Keyword: asset pricing

Found 10 papers in total
Improving estimates of asset condition using historical data
Improving estimates of asset condition using historical data
2014,
Regularly updating the estimated conditions of the asset base is important when...
A Case‐Based Model of Probability and Pricing Judgments: Biases in Buying and Selling Uncertainty
A Case‐Based Model of Probability and Pricing Judgments: Biases in Buying and Selling Uncertainty
2012,
We integrate a case‐based model of probability judgment with prospect theory to...
A Global Equilibrium Asset Pricing Model with Home Preference
A Global Equilibrium Asset Pricing Model with Home Preference
2012,
We develop a global equilibrium asset pricing model assuming that investors suffer...
Intertemporal CAPM with Conditioning Variables
Intertemporal CAPM with Conditioning Variables
2013,
This paper derives and tests an intertemporal capital asset pricing model (ICAPM)...
Presidential Address: Discount Rates
Presidential Address: Discount Rates
2011,
Discount‐rate variation is the central organizing question of current...
The time-varying equity premium and the S&P 500 in the twentieth century
The time-varying equity premium and the S&P 500 in the twentieth century
2011,
I present a new hindcast stock market index for the United States over the twentieth...
Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
2013,
In this paper we focus on robust linear optimization problems with uncertainty regions...
Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
2010,
In the context of a three-moment intertemporal capital asset pricing model...
Option pricing under GARCH processes using PDE methods
Option pricing under GARCH processes using PDE methods
2010,
In this paper, we propose a partial differential equation formulation for the value of...
Instability of financial markets and preference heterogeneity
Instability of financial markets and preference heterogeneity
2010,
This paper presents a simple rational expectations model of intertemporal asset...
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