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Generalized Recovery

Publikation: Forskning - peer reviewPaper

We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. Our characterization makes no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Our characterization is simple and intuitive, linking recovery to the relation between the number of time periods and the number of states. When recovery is feasible, our model is easy to implement, allowing a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return and other recovered statistics.

Publikationsoplysninger

OriginalsprogEngelsk
Publikationsdato2016
Antal sider59
StatusUdgivet - 2016
BegivenhedThe 43rd European Finance Association Annual Meeting (EFA 2016) - Oslo, Norge

Konference

KonferenceThe 43rd European Finance Association Annual Meeting (EFA 2016)
Nummer43
LokationBI Norwegian Business School
LandNorge
ByOslo
Periode17/08/201620/08/2016
Internetadresse

ID: 45432335