The Advantage Learning Factor and Discount Factor
Rethinking the Discount Factor in Reinforcement Learning: A Decision Theoretic Approach
... Reinforcement learning (RL) agents have traditionally been tasked with maximizing the value function of a Markov deci- sion process (MDP), either in continuous settings, with fixed discount factor γ ...
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A Critique of the Stochastic Discount Factor Methodology
... count factor (SDF) model, recent empirical asset pricing studies have been focused on testing the pricing restrictions in terms of the SDF model, rather *Kan is from the University of Toronto, Zhou is from ...
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A Rehabilitation of Stochastic Discount Factor Methodology
... stochastic discount factor expression of an asset pricing model is mathematically equivalent to its expected return - beta expression, so that part of the methodology cannot make any ...the factor is ...
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Complete Monotonicity of the Representative Consumer's Discount Factor
... consumer’s discount rates are decreasing with respect to ...consumer’s discount rate is a hyperbolic function of time (a special case of decreasing discount ...subjective discount rates are ...
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Accounting based valuation and implied discount factor
... 2.1 Introduction One of the most critical aspects of equity valuation is the determination of the appropriate expected return to use in order to properly discount future cash flows. Although much effort has been ...
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Stochastic Discount Factor Bounds with Conditioning Information
... 10. Summary and Conclusions This paper offers a number of refinements and insights into the volatility bounds on stochastic discount factors, first developed by Hansen and Jagannathan (HJ, 1991). When there is no ...
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Complete Monotonicity of the Representative Consumer's Discount Factor
... consumer’s discount factor tells us which discount rates are or are not held by individual consumers in the ...same discount rate, we can in no way identify how the weights are distributed ...
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Complete Monotonicity of the Representative Consumer's Discount Factor
... The mathematical fact behind these results are the celebrated theorem by S. Bernstein, which asserts that a function is completely monotone if and only if it can be represented as an integral of negative exponential ...
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The Current Account Discount Factor - A Practical Application
... b University of Notre Dame and NBER, United States Received 24 May 2007; accepted 25 October 2007 Abstract We study the evolution of the U.S. current account in a two-country dynamic stochastic endowment model in which a ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... stochastic discount factor, for plausible values of risk aversion, is too low to be consistent with consumption and asset return ...stochastic discount factor, which render the volatility of ...
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Estimating the Stochastic Discount Factor without a Utility Function
... sent the SDF, although the latter does not depend on consumption; see Rosenberg and Engle, who project the SDF onto the payo¤s of a single traded asset, and Aït-Sahalia and Lo (1998, 2000), who rely on equity-index ...
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Robust Aggregate Implications of Stochastic Discount Factor Volatility
... stochastic discount factor volatility, and whether the macroeconomic implications would be the same under these alternative ...stochastic discount factor ...stochastic discount ...
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An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor
... Stochastic discount factors (SDFs) are estimated for five groupings of U.S. assets from different classes using simultaneous monthly gross return observations, July 2002 through December 2013, (138 months.) There ...
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Identification and Inference in Linear Stochastic Discount Factor Models
... The paper is organized as follows. Section 1 lays out a standard linear factor model. Section 2 discusses the two normalizations of the SDF. Section 3 discusses the approach to be used in estimating the two model ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... stochastic discount factor, for plausible values of risk aversion, is too low to be consistent with consumption and asset return ...stochastic discount factor, which render the volatility of ...
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Relationships between the stochastic discount factor and the optimal omega ratio
... The optimality conditions will be applied to the most important pricing models of Financial Mathematics, and it will be shown that the optimal value of omega only depends on the upper an[r] ...
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Performance evaluation considering the coskewness: a stochastic discount factor framework.
... distances than their unconditional model counterparts. In attempting to price the dynamic strategies implied by the lagged instruments, the conditional models sacrifice some accuracy on the primitive returns. The results ...
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INNOVATIVE BUSINESS MODELS A FACTOR FOR COMPETITIVE ADVANTAGE OF THE COMPANIES
... main factor that influences the size, power and success of the company is its ability to innovate the processes, products or services, while the main intention of each company is creating and maintaining the ...
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Ruin probability under compound Poisson models with random discount factor
... deterministic discount factor, we will use a random discount factor+ This is somewhat the same as when we consider the com- pound Poisson model with a stochastic interest rate+ We call the ...
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Portfolio efficiency and discount factor bounds with conditioning information: a unified approach
... and discount factor bounds in the presence of conditioning ...Stochastic discount fac- tor (SDF) bounds are central in testing asset pricing ...duality, discount factor bounds are ...
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