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Long Term Risk

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Cahier_Chaire_7.pdf (408.0Kb)
Date
2008-03
Publisher city
Paris
Publisher
Université Paris-Dauphine
Collection title
Cahiers de la Chaire Finance et Développement Durable
Collection Id
7
Dewey
Economie financière
Sujet
Risk
JEL code
G32; G12; D81
URI
https://basepub.dauphine.fr/handle/123456789/2284
Collections
  • Chaire Finance et développement durable - Approches quantitatives
Metadata
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Author
Scheinkman, José
Type
Document de travail / Working paper
Item number of pages
108
Abstract (EN)
In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered in response to changes in the exposure to the underlying shocks that impinge in the economy. In these lectures we will: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov environments. This is done by studying a principal eigenvalue problem for a conveniently chosen family of valuation operators.

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