Stig R.H. Lundeby

BI Norwegian Business School

Nydalsveien 37

Oslo, 0442

Norway

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Scholarly Papers (3)

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1.

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

Number of pages: 59 Posted: 24 Dec 2018 Last Revised: 07 Aug 2020
Mikhail Chernov, Lars A. Lochstoer and Stig R.H. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and BI Norwegian Business School
Downloads 285 (195,561)
Citation 1

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multi-horizon returns, linear factor models, stochastic discount factor

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

NBER Working Paper No. w25361
Number of pages: 60 Posted: 17 Dec 2018 Last Revised: 19 Apr 2023
Mikhail Chernov, Lars A. Lochstoer and Stig R.H. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and BI Norwegian Business School
Downloads 65 (633,066)

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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

CEPR Discussion Paper No. DP13365
Number of pages: 62 Posted: 11 Dec 2018 Last Revised: 16 Aug 2020
Mikhail Chernov, Lars A. Lochstoer and Stig R.H. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and BI Norwegian Business School
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linear factor models, multi-horizon returns, Stochastic discount factor

2.

Dynamic Trading and Asset Pricing with Time-Inconsistent Agents

Number of pages: 59 Posted: 14 Aug 2023 Last Revised: 11 Dec 2023
Stig R.H. Lundeby and Zhaneta K. Tancheva
BI Norwegian Business School and BI Norwegian Business School
Downloads 74 (580,905)

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Short-termism, time inconsistency, asset pricing puzzles, portfolio choice

3.

Portfolio Choice with ESG Disagreement: Customizing Sustainability Through Direct Indexing

The Journal of Beta Investment Strategies Direct Indexing 2023, 14 ( 3 ) 132 - 149 DOI: 10.3905/jbis.2023.1.041
Posted: 20 Jan 2023 Last Revised: 06 Sep 2023
Paul Ehling, Stig R.H. Lundeby and Lars Qvigstad Sørensen
BI - Norwegian Business School, BI Norwegian Business School and Storebrand Asset Management

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ESG Ratings, Direct Indexing, Sustainable Investing, Portfolio Choice, Tracking Error, Disagreement