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Marfè, Roberto's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
645 |
Total
Citations
2 |
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1.
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Realized Expectations and the Equilibrium Risk-Return Trade Off
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Marfè, Roberto
Swiss Finance Institute
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Posted:
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17 Dec 11
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Last Revised:
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23 Nov 12
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184
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Marfè, Roberto
Swiss Finance Institute
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15 Mar 12
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Last Revised:
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23 Nov 12
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43
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general equilibrium, negative risk-return trade off, realized expectations, asset pricing puzzles, heterogeneous preferences, external habit, forecast errors, closed-form expression
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Marfè, Roberto
Swiss Finance Institute
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17 Dec 11
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Last Revised:
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23 Nov 12
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141
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general equilibrium, negative risk-return trade off, realized expectations, asset pricing puzzles, heterogeneous preferences, external habit, forecast errors, closed-form expression
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2.
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Asset Prices and the Heterogeneous Impact of News
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Marfè, Roberto
Swiss Finance Institute
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Posted:
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14 Feb 11
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Last Revised:
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17 Oct 11
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174
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Marfè, Roberto
Swiss Finance Institute
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44
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Heterogeneous preferences, countercyclical Sharpe ratio, equity premium, volatility feedback, closed-form expression
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Marfè, Roberto
Swiss Finance Institute
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14 Feb 11
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Last Revised:
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17 Oct 11
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130
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Heterogeneous preferences, general equilibrium, closed-form expression, equity premium, countercyclical Sharpe ratio
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3.
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Marfè, Roberto
Swiss Finance Institute
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14 Feb 11
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Last Revised:
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02 Jan 12
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103
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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset pricing, multi-factorial modelling, variance gamma
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4.
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Curatola, Giuliano
Swiss Finance Institute Marfè, Roberto
Swiss Finance Institute
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28 Mar 11
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Last Revised:
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04 Oct 12
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100
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equilibrium asset pricing, heterogeneous preferences, external habit, portfolio strategies, closed form expression
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5.
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Marfè, Roberto
Swiss Finance Institute
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84
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Asset pricing, Consumption CAPM, Time-change, Asset pricing puzzles, Uncertainty
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6.
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Marfè, Roberto
Swiss Finance Institute
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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset pricing, non-Gaussian distributions
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7.
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Marfè, Roberto
Swiss Finance Institute
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Lévy processes, Multivariate subordinators, Dependence, Correlation, Multivariate asset pricing, Variance gamma
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