Conditional characteristics of risk-return trade-off:a stochastic discount factor framework
Modeling of the stochastic discount factor using state variables to proxy for the marginal utility substituting for the failure of aggregate consumption data to account for the conditional characteristics of asset returns. The focus is on the conditional characteristics of historical stock returns s...
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| Format: | Dissertation |
| Language: | English |
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University of Oulu
2017
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| Online Access: | http://urn.fi/URN:NBN:fi:oulu-201711293207 http://nbn-resolving.de/urn:nbn:fi:oulu-201711293207 |