United States
http://www.davidschreindorfer.com
Arizona State University
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tail risk, equity premium puzzle, equity index options, Arrow-Debreu securities, rare disasters, long-run risks, external habits, incomplete markets, intermediary-based asset pricing
Pricing kernel, volatility, state prices, equity index options, tail risk, risk-return trade-off, conditional density estimation, habits, long-run risks, rare disasters, valuation risk
macroeconomic tail risk, equity index options, equity premium puzzle, generalized disappointment aversion, risk aversion
Disasters, Epstein-Zin preferences, SMM, credit risk, option pricing
Generalized Disappointment Aversion, Equity Index Options, Varience Swaps, Return Predictability
External habits, countercyclical volatility, return predictability, leverage, numerical solution methods
Stochastic volatility, portfolio choice, life-cycle investing