Horizon Risk and Asset Pricing
This paper presents an equilibrium asset pricing model with incomplete information on returns and agents' utility. Only some moments of the returns distributions are observable, and investors associate a return's riskness to the time required for its mean to converge around its expectation, which they measure through Chebyshev-type inequalities.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1999|
|Contact details of provider:|| Postal: University of Southern California, School of BusinessAdministration, Los Angeles, CA 90089-1421.|
Web page: http://www.marshall.usc.edu/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:socabu:99-57. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.