Avenue Bernard Hirsch
BP 105 Cergy Cedex, 95021
France
ESSEC Business School
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Generalized Disappointment Aversion, Downside Risks, Cross-Section
realized variance, realized semivariance, stock market return predictability, asymmetric realized volatility, variance risk premium, high-frequency data, equilibrium asset pricing
Cross-section of stocks, out-of-the-money options, variance risk premium
Binormal distribution, Downside risk, Intertemporal CAPM, GARCH, Relative downside volatility, Risk-return trade-off, Upside uncertainty.
Option Prices, Skewness, Volatility Spread, Risk Premium
Credit Default Swap Spreads, Generalized Disappointment Aversion, Sovereign Risk, Term Structure
Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk
corporate bonds, cross-sectional asset pricing, credit, downside risk, volatility risk
Asset Pricing, Machine Learning, Firm Characteristics, Mutual Funds
Asset allocation, disappointment aversion, downside risk, loss aversion, reference-dependent preferences, skewness.
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Asset allocation, Downside risk
Level Risk, Expected Growth Risk, Consumption Volatility Risk, GARCH, Kalman Filter
Conditional skewness, Downside risk, Mincer-Zarnowitz regression, Realized skewness
Equilibrium Asset Pricing, Equity Premium, Risk-free Rate Puzzle, Predictability
Generalized Disappointment Aversion, Expectations Hypothesis, Numerical Solution Methods, Term Structure of Interest Rates
Asset Pricing, Macrofinance, Numerical Methods, Term Structure of Interest Rates
Generalized Disappointment Aversion, Option Payoffs, Downside Risks, Cross-Section
Discrete Time, Affine Model, Conditional Skewness, GMM, Option Pricing
disappointment aversion, long-run risk, equity premium, asset returns, predictability, equilibrium Asset Pricing, risk-free rate puzzle
principal component analysis, reduced rank regression, predictability
Individual Goods Inflation, Phillips Curve, Cross-Sectional Asset Pricing, Fama-MacBeth Procedure, Inflation Risk Premium
Treasury Auctions, Event-Study Analysis, Primary Dealers, Slow-Moving Capital, Mutual Funds, Zero-Coupon Inflation Swaps
Inflation Cyclicality, World Business Cycle, Common Global Factors, Aggregate Consumption Demand, Fama–MacBeth Regression
Quadratic payoff, quadratic loss, quadratic gain, quadratic risk premium, options
Endogenous preference parameters, non-participation, efficient frontier
Heterogeneous agents, consumption risk, higher-order cumulants, Asset Pricing
Heterogeneous agents, consumption risk, higher-order cumulants, Asset pricing, principal component
Individual Goods Inflation, Phillips Curve, Cross-Sectional Asset Pricing, Fama-MacBeth Procedure, inflation risk premium
