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页数:41页
时间:2018-02-10
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1、CHAPTER23RiskPricingoverAlternativeInvestmentHorizons*LarsPeterHansenDepartmentsofEconomicsandStatistics,UniversityofChicago,Chicago,Illinois,USAandtheNBERContents1.Introduction15722.StochasticDiscountFactorDynamics15732.1BasicSetup15732.2AConvenientFact
2、orization15742.3OtherFamiliarChangesinMeasure15762.4Log-LinearModels15772.5Model-BasedFactorizations15782.5.1ConsumptionExternalitiesandHabitPersistence15792.5.2RecursiveUtility15792.5.3AlteringMartingaleComponents15812.5.4EndogenousResponses15822.6Entro
3、pyCharacterization15823.Cash-FlowPricing15833.1IncorporatingStochasticGrowthintheCashFlows15833.2Holding-PeriodReturnsonCashFlows15853.3ShockElasticities15853.3.1Lettau–WachterExample15883.3.2RecursiveUtility15903.3.3ExternalHabitModels15934.MarketRestri
4、ctions15944.1IncompleteContracting15964.1.1TradingAssetsthatDependOnlyonAggregateShocks15984.1.2EfficientAllocationswithPrivateInformation15994.2SolvencyConstraints16024.3SegmentedMarketandNominalShocks16065.Conclusions1607AppendixA.LimitedContractingEco
5、nomiesRevisited1608References1609*IthankDavidBackus,RuiCui,MarkHendricks,RalphKoijen,EricRenault,GraceTsiang,andespeciallyFernandoAlvarezforhelpfuldiscussionsinpreparingthischapter.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016
6、/B978-0-44-459406-8.00023-8Allrightsreserved.15711572LarsPeterHansen1.INTRODUCTIONModel-basedassetpricesarerepresentedconvenientlyusingstochasticdiscountfactors.Thesediscountfactorsarestochasticinorderthattheysimultaneouslydiscountthefutureandadjustforri
7、sk.HansenandRichard(1987),HansenandJagannathan(1991),Cochrane(2001),andSingleton(2006)showhowtoconstructandusestochasticdis-countfactorstocompareimplicationsofalternativeassetpricingmodels.Thischapterexploresthreeinterrelatedtopicsusingstochasticdiscount
8、factors.First,Iexploretheimpactofcompoundingstochasticdiscountfactorsoveralternativeinvestmenthorizonsrequiredforpricingassetpayoffovermulti-periodinvestmenthorizons.Theimpactofcompoundingwithstatedependentdiscountingischa
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