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Bocconi University - Department of Finance
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return predictability, predictors-based bound, asset pricing models
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asset pricing models, predictors-based bound, return predictability
Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability
Empirical Characteristic Function, Stochastic Volatility, Infinite Activity Jumps, Volatility Jumps, Continuous GMM
Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks
Wold decomposition, Abstract Wold Theorem, persistence heterogeneity, impulse response functions, forecasting
arbitrage, viability, linear pricing rules, optimal portfolio-consumption problems, marginal utility of wealth, envelope theorem
Transacation Costs, Linear Programming, arbitrage, bid-ask prices, linear programming, effective securities, efficient trading strategies
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