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Tag: sdf
3 items with this tag.
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
Multiplicative Factorization of the Stochastic Discount Factor
asset-pricing
sdf
long-run-risk
decomposition
martingale
Apr 13, 2026
Cross-asset regime-consistent pricing: CRE + Treasuries under a single regime-switching SDF
cross-asset
no-arbitrage
risk-premia
term-premium
regime-switching
sdf
cre
treasury