The impact of fat tails on equilibrium rates of return and term premia

DOI10.1016/j.jedc.2006.03.001zbMath1163.91528OpenAlexW3122148277MaRDI QIDQ1017010

Prasad V. Bidarkota, Brice V. Dupoyet

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1027.7621

zbMATH Keywords

equity premiumterm premiumfat tailshabit formationasset-pricing modeldampened power law

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Related Items (5)

A path integral based model for stocks and order dynamics ⋮ A model for stocks dynamics based on a non-Gaussian path integral ⋮ Asset pricing in a Lucas fruit-tree economy with the best and worst in mind ⋮ Pricing of the time-change risks ⋮ Asset pricing with incomplete information and fat tails

Cites Work

• The Pricing of Options and Corporate Liabilities
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
• Stable modeling of value at risk
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Asset Prices in an Exchange Economy
• A note on some limitations of CRRA utility

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