The impact of fat tails on equilibrium rates of return and term premia
type: Item
instance of: scholarly article
title: The impact of fat tails on equilibrium rates of return and term premia
zbMATH Open document ID: 1163.91528
author: Prasad V. Bidarkota
author: Brice V. Dupoyet
publication date: 2009-05-18T00:00:00Z
full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5554411
zbMATH Keywords: asset-pricing model
zbMATH Keywords: habit formation
zbMATH Keywords: term premium
zbMATH Keywords: equity premium
zbMATH Keywords: fat tails
zbMATH Keywords: dampened power law
MaRDI profile type: Publication
OpenAlex ID: W3122148277
cites work: Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
cites work: The pricing of options and corporate liabilities
cites work: A note on some limitations of CRRA utility
cites work: Stable modeling of value at risk
cites work: Asset Prices in an Exchange Economy
cites work: The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
DOI: 10.1016/J.JEDC.2006.03.001
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5554411