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Long-Term Risk: A Martingale Approach - MaRDI portal

Long-Term Risk: A Martingale Approach (Q4612496)

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scientific article; zbMATH DE number 7009630
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Long-Term Risk: A Martingale Approach
scientific article; zbMATH DE number 7009630

    Statements

    title
    Long-Term Risk: A Martingale Approach (English)
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    author
    Likuan Qin
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    Vadim Linetsky
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    published in
    Econometrica
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    publication date
    31 January 2019
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    zbMATH Keywords
    stochastic discount factor
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    pricing kernel
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    long-term factorization
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    long bond
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    long forward measure
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    long-term risk-neutral measure
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    principal eigenfunction
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    Identifiers

    DOI
    10.3982/ECTA13438
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    zbMATH DE Number
    7009630
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    arXiv ID
    1411.3078
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