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Bocconi University - CAREFIN - Centre for Applied Research in Finance
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Wishart processes, Best-of Basket option, Stochastic Correlation, FFT
long run, predictability, aggregation, risk-return trade-off
Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions
Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability
Longevity Risk, Strategic Asset Allocation
Longevity risk, strategic asset allocation
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP10595.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
longevity risk, strategic asset allocation
Option Pricing, Stochastic Volatility, Short and Long Term Volatility Risk, Stochastic Leverage, Wishart Diffusion
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
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ecno.
File name: mafi.
Price of the Smile, Price of Volatility, Option Pricing, Stochastic Volatility, Unspanned Skewness, Financial Constrains, Financial Intermediation, Financial Crisis, Factor Models, Matrix Jump Diffusions, Variance Swaps, Skew Swaps
Leverage, Cross Section of Returns, Target Leverage, Dynamic Capital Structure, Financial Frictions
Coherent states, affine jump diffusion, Lie groups, Lie algebras
Dynamic portfolio choice
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