Pricing Kernels with Stochastic Skewness and Volatility Risk

I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. Th...

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Veröffentlicht in:Management science 2012-03, Vol.58 (3), p.624-640
1. Verfasser: Chabi-Yo, Fousseni
Format: Artikel
Sprache:eng
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