The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
1050 Massachusetts Avenue
Cambridge, MA 02138
University of Pennsylvania - Finance Department
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Mutual fund, performance evaluation
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id907463.
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Equity premium, macroeconomic volatility, stock market boom, regime shifts
Decreasing relative risk aversion, Engel curves, Life-cycle model, Nonhomothetic utility, Portfolio choice
Value, Growth, duration, habit formation
File name: SSRN-id743185.
Value, growth, duration, habit formation
Expected Default, Bond Issuance, Business Cycles, Disaster Risk
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
implied volatilities, consumption disasters, jump-diffusions
Rare disasters, Peso problem, Excess volatility
disaster risk, financial crisis, collateralized debt obligations
rare events, recursive utility, factor models
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