Pricing Kernel
Three essays on pricing kernel in asset pricing
... Pricing equity and its financial derivative is a core question in finance. Researches on this topic are broad and extensive. We all know that the price of a derivative depends on its underlying asset, but ...
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Forecasting The Pricing Kernel of IBNR Claims Development In Property Casualty Insurance
... the pricing kernel, ...the pricing kernel forecast is a product measure of the ...unobservable pricing kernels used to forecast ...
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Does Portfolio Optimization Pay?
... Conversely, the approximation loss strongly increases with the pricing kernel elasticity, given θ φ. For φ = 1, the highest approximation loss in Figure 5, left, is about 1.1% for the highest θ = 11 and γ ≈ ...
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Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
... asset pricing kernels derived under the complete risk sharing, repre- sentative agent (RA) assumption have a hard time explaining the observed large equity premium (see ...asset pricing kernel, in ...
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Pricing Kinis and Risk Anecdities
... Our results, briefly, are as follows. We find that exogenous events have a short-term impact on risk aversion (the investor’s tolerance for risk), but not on the pricing kernel (inter- temporal substitution ...
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The pricing of idiosyncratic risk: evidence from the implied volatility distribution
... Abstract A recent strand in the literature has investigated the relationship between idiosyncratic risk and future stock returns. Although several authors have found sig- nificant predictive power of idiosyncratic ...
21
Taxing Capital? Not a Bad Idea After All!
... We consider a pure exchange economy with a continuum of agents that face aggregate and idiosyncratic endowment shocks, trade state-contingent claims to consumption on competitive markets and face solvency constraints ...
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Stochastic dominance option bounds and Nth order arbitrage opportunities
... a pricing kernel the (N − 2)th derivative of which is (n/2)-segmented and piecewise constant if n is even or ((n+1)/2)-segmented and piecewise constant if n is ...
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Existence of an optimal portfolio for every investor in an Arrow Bebreu economy
... investor i’s subjective probability density function respectively. We assume that all these probability density functions are positive and differentiable in X ∈ (0, + ∞ ) almost surely. We assume that there exists a ...
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"Human Capital as an Asset Mix and Optimal Life-Cycle Portfolio: An Analytical Solution"
... Second, we use the Martingale method to solve the life-cycle optimal asset allocation problem. As is widely known, the great di¢ culty in solving problems of this class lies in the non-linearity of the ...
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Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium
... the pricing kernel, and thus the risk premium on any risky ...asset pricing kernel if utility function is non-separable in housing and other ...The pricing kernel is the ratio of ...
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Equity Pricing and Risk Premium under Long Run Risks and Incomplete Information
... the pricing kernel (stochastic discount factor) with adjustment for ...our pricing kernel to computing price-earnings ratio, equity premium, and the short ...
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Consistent valuation across curves using pricing kernels
... the pricing kernel approach have appeared in Crépey et ...by pricing kernel models driven by stochastic ...by pricing a forward rate agreement (FRA) written on the ...OIS pricing ...
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Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
... option pricing power law which eschewed assumptions about risk attitudes, rejected risk neutrality, and made no assumptions about stock price distribu- ...option pricing model with stochastic ...
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Exchange rate risks and asset prices in a small open economy
... Determination of coefficients Q and C in (19) is a matter of calibration rather than estimation. The unconditional covariance matrix of excess returns renders row vectors Q j by Cholesky decomposition, as soon as one ...
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Systematic equity-based credit risk: A CEV model with jump to default
... the pricing kernel can imply remarkable differences in the equity-price-dependent status between the objective default intensity and the risk-neutral ...analytical pricing of credit-sensitive ...
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Reduces Solution of Fredholm Integral Equation to a System of Linear Algebraic Equation
... of kernel of integral equations like iterated kernel, symmetric , different and Resolved kernel and to determine the Resolved kernel for Fredholm integral equation (FIE) and Volterra integral ...
9
Forecast of fund volatility using least squares wavelet support vector regression machines
... The results on out-of-sample forecasting for SZSE fund volatility from the four models are given in Table 3. It shows that the four statistical metrics RMSE, MAE, LL, and LINEX of LS-WSVR1, LS-WSVR2, and LS-WSVR3 are all ...
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Learning the Kernel with Hyperkernels (Kernel Machines Section)
... Lemma 7 implies that the solution of the regularized quality functional is a linear combination of hyperkernels on the input data. This shows that even though the optimization takes place over an entire Hilbert space of ...
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