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題 目：The EPK Paradox and Its Consequences for Risk Preferences
主講人：Ms. Maria Grith
時 間：101年3月15日(星期四)下午16:10-17:00
地 點：交大綜合一館427室
Abstract
Supported by several recent investigations the empirical pricing kernel
(EPK) paradox might be considered as a stylized fact. Some authors suggest
that this paradox might be caused by regime switching in financial markets.
Based on an economic model with state dependent utilities for the financial
investors we want to emphasize a microeconomic view that succeeds in
explaining the paradox via state dependent preferences. We shall also
develop and investigate calibration problems in terms of data fits for
basic values of the pricing kernel.
※ 編輯: cilar 來自: 122.117.193.35 (03/12 01:39)