Stochastic Compounding and Uncertain Valuation April 24 , 2013
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چکیده
Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. Formally, we apply a generalized version of Perron-Frobenius theory to construct this probability measure. We discuss methods for recovering this distribution from financial market data; we apply this distribution to characterize the impact of model misspecification; and we apply it to study Kreps-Porteus style utility recursions for infinite horizon economies.
منابع مشابه
Stochastic Compounding and Uncertain Valuation December 30 , 2013
Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We apply a generalized version of Perron-Frobenius theory to construct this probability measure and pres...
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تاریخ انتشار 2013