The Discount Factor Function
Estimating the Stochastic Discount Factor without a Utility Function
... stochastic discount factor onto equity-return ...a function of current or lagged values of consumption; see Chen and Ludvig- son, who propose a semiparametric estimate of the functional form of the ...
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Macroeconomic Policy Analysis using utility function with non-constant discount factor
... In particular, we focused on recursive utility models, in which the discount factor is a function of utility or some aggregate macroeconomic variables including consumption[r] ...
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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 ...
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Complete Monotonicity of the Representative Consumer's Discount Factor
... a function λ specifying utility weights can take strictly positive values if and only if µ and ν ◦ ρ −1 ◦ β are mutually absolutely continuous, it shows that the representative consumer’s discount ...
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Complete Monotonicity of the Representative Consumer's Discount Factor
... a function is completely monotone if and only if it can be represented as an integral of negative exponential functions, where the integral is taken over constants multiplied to the arguments of the negative ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... 1947-97 1957-87 1947-97 1957-87 1947-97 1957-87 Epstein-Zin 0.998 0.956 0.325 0.340 0.316 7.094 Habit 0.997 0.981 0.311 0.249 0.308 2.768 An examination of Table 1 suggests initially that the failure of the two models in ...
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An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor
... Stochastic Discount Factor (SDF) inspired by a recognition that the SDF appears in a particular mathematical object, an integral ...a function of observed returns, it does not depend on the ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... 1947-97 1957-87 1947-97 1957-87 1947-97 1957-87 Epstein-Zin 0.998 0.956 0.325 0.340 0.316 7.094 Habit 0.997 0.981 0.311 0.249 0.308 2.768 An examination of Table 1 suggests initially that the failure of the two models in ...
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Rethinking the Discount Factor in Reinforcement Learning: A Decision Theoretic Approach
... value function of a Markov deci- sion process (MDP), either in continuous settings, with fixed discount factor γ < 1, or in episodic settings, with γ = ...“discount” factor that is ...
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Ruin probability under compound Poisson models with random discount factor
... Lemma 2: The discounted value of all of the claim amounts occurring in the time interval ~0, t#, S~t! 5 ( i N~t ! 51 X i e 2dT i , converges to a random variable S~1`!. Fur- thermore, S~1`! has a gamma distribution with ...
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Portfolio efficiency and discount factor bounds with conditioning information: a unified approach
... Finally, note also that the return r ν t defined in (7) is the unique efficient return with zero-beta rate 1/ν, i.e. the ‘tangency’ portfolio relative to the ‘shadow’ risk-free rate 1/ν. 3.3 Relationship to ‘Optimally ...
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On the Robustness of the Consumer Homogeneity Assumption with Respect to the Discount Factor for Remanufactured Products
... constant discount factor assump- ...a function of price discounts, brand equity, and quality ...low discount levels the attractiveness of remanufactured products in- creases with an increasing ...
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Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing
... t ε t+1 + ∇η t+1 , (21) f t − s t − (f t − s t ) = ( ∇γ − ∇τ) z t + μx t . (22) To be able to identify the model described in equations (19-22), we need more informa- tion than just the exchange rate depreciation and the ...
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A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data
... Stochastic Discount Factor, Common ...stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the “common feature”in every asset return of the econ- ...
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Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?
... i+1 to i+3 rows of are all zero; and 4) the first i elements of is zero. A likelihood ratio test is used to provide test statistics for the restrictions implied by the no-arbitrage condition in M1-M12 as given in Table ...
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Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Games
... a nonparametric approach. We identify combinations of the switching costs by exploiting empirically motivated exclusion and testable independence assumptions. A key step involves eliminating common future expected ...
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Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Games
... the discount factor and speci…cation of the remaining components of the payo¤ ...payo¤ function do not depend on past actions (this can be relaxed to allow dependence of a …nite time ...
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Joint analysis of the discount factor and payoff parameters in dynamic discrete choice games
... can even be the central object of the dynamic model itself (e.g. see Slade (1998), and also the general discussions in Ackerberg, Benkard, Berry and Pakes (2007) and Pesendorfer (2010)). Our study on the switching costs ...
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A Stochastic discount factor approach to asset pricing using panel data asymptotics
... parametric function is still used to represent the SDF, although the latter does not depend on consumption at all or only depends partially on consumption; see Rosenberg and Engle, who project the SDF onto the ...
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