Show simple item record

hal.structure.identifier
dc.contributor.authorHansen, Lars Peter*
hal.structure.identifier
dc.contributor.authorScheinkman, José*
dc.date.accessioned2009-10-19T09:34:18Z
dc.date.available2009-10-19T09:34:18Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2282
dc.descriptionEgalement paru dans la série Cahiers de la Chaire Finance et Développement Durable, n°6.
dc.language.isoenen
dc.subjectRisken
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.subject.classificationjelD81en
dc.titleLong Term Risk : An Operator Approachen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous-time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. The members of this family are indexed by the elapsed time between payoff and valuation dates, and they are necessarily related via a mathematical structure called a semigroup. We represent the semigroup using a positive process with three components: an exponential term constructed from the eigenvalue, a martingale, and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long-run approximation, and the eigenfunction gives the long-run dependence on the Markov state. We discuss sufficient conditions for the existence and uniqueness of the relevant eigenvalue and eigenfunction. By showing how changes in the stochastic growth components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk-return trade-off.
dc.relation.isversionofjnlnameEconometrica
dc.relation.isversionofjnlvol77
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages177-234
dc.relation.isversionofdoihttp://dx.doi.org/10.3982/ECTA6761
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelEconomie financièreen
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record