LeatherSagiKnowledgebase
Search
Search
Dark mode
Light mode
Explorer
Tag: long-run-risk
12 items with this tag.
Apr 13, 2026
GDA preferences with long-run volatility risk alone explain the equity premium
asset-pricing
equity-premium
disappointment-aversion
long-run-risk
preferences
Apr 13, 2026
Log-linearization errors exceed 70% in persistent long-run risk models
asset-pricing
approximation-error
long-run-risk
numerical-methods
Apr 13, 2026
The principal eigenvalue of the pricing semigroup determines the long-run yield and the long-run risk-price vector
asset-pricing
eigenvalue
long-run-risk
term-structure
yield
Apr 13, 2026
Strictly positive multiplicative functionals admit a unique decomposition into exponential trend, martingale, and transient eigenfunction-ratio components
asset-pricing
sdf
long-run-risk
decomposition
martingale
Apr 13, 2026
Log-Linearization Approximation Error
asset-pricing
numerical-methods
approximation
long-run-risk
Apr 13, 2026
Multiplicative Factorization of the Stochastic Discount Factor
asset-pricing
sdf
long-run-risk
decomposition
martingale
Apr 13, 2026
Principal Eigenfunction of a Pricing Operator
asset-pricing
eigenvalue
semigroup
long-run-risk
perron-frobenius
Apr 13, 2026
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
asset-pricing
long-run-risk
disappointment-aversion
equity-premium
Markov-switching
recursive-utility
Apr 13, 2026
Long-Term Risk: An Operator Approach
long-run-risk
operator-approach
asset-pricing
eigenvalue
semigroup
stochastic-discount-factor
Apr 13, 2026
Higher Order Effects in Asset Pricing Models with Long-Run Risks
asset-pricing
long-run-risk
log-linearization
approximation-error
recursive-utility
numerical-methods
Apr 13, 2026
jose-scheinkman
mathematical-economics
asset-pricing
financial-economics
long-run-risk
dynamics
Apr 13, 2026
lars-peter-hansen
econometrics
asset-pricing
gmm
long-run-risk
nobel-laureate