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dc.contributor.authorScheinkman, José A.
dc.date.accessioned2009-10-19T09:40:08Z
dc.date.available2009-10-19T09:40:08Z
dc.date.issued2008-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2284
dc.language.isoenen
dc.subjectRisken
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.subject.classificationjelG12en
dc.subject.classificationjelD81en
dc.titleLong Term Risken
dc.typeDocument de travail / Working paper
dc.description.abstractenIn 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.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages108en
dc.relation.ispartofseriestitleCahiers de la Chaire Finance et Développement Durableen
dc.relation.ispartofseriesnumber7en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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