Asset Pricing with Horizon-Dependent Risk Aversion
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- Epper, Thomas & Fehr-Duda, Helga, 2017. "A Tale of Two Tails: On the Coexistence of Overweighting and Underweighting of Rare Extreme Events," Economics Working Paper Series 1705, University of St. Gallen, School of Economics and Political Science.
- Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz & Yichuan Wang, 2015.
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- Baeho Kim & Da‐Hea Kim & Haehean Park, 2020. "Informed options trading on the implied volatility surface: A cross‐sectional approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 776-803, May.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017.
"The price of variance risk,"
Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
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This paper has been announced in the following NEP Reports:- NEP-DGE-2015-10-25 (Dynamic General Equilibrium)
- NEP-FMK-2015-10-25 (Financial Markets)
- NEP-UPT-2015-10-25 (Utility Models & Prospect Theory)
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