Alberto Quaini

University of Geneva

40 Boulevard du Pont d'Arve

Geneva 4, Geneva 1211

Switzerland

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Scholarly Papers (1)

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Smart Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 21-51
Number of pages: 75 Posted: 08 Jul 2021 Last Revised: 06 Aug 2021
Sofonias A. Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and Swiss Finance Institute
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Abstract:

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SDF, Convex Pricing Constraints, Minimum Dispersion SDF, Market Frictions, SDF regularization, Arbitrage Pricing Theory