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Results 11 - 20
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1,848
On the Shape of the Option-Implied Stochastic Discount Factor
, 2003
"... All existing asset pricing models imply a monotonically decreasing marginal utility function in ‘states of the world ’ or for most one-factor models, market re-turn. Any non-decreasing portion implies that the utility function has convex portions in wealth, implying risk-loving investor behavior. Th ..."
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. This study finds signif-icant increasing portions in the marginal utility functions (or stochastic discount factors) implied by FTSE 100, DAX, and S&P 500 index options. The stochastic discount factor is first modelled nonparametrically, then fitted to a polynomial in order to model and show
A Rehabilitation of Stochastic Discount Factor Methodology
, 2001
"... In a recent Journal of Finance article, Kan and Zhou (1999) find that the “Stochastic discount factor ” methodology using GMM is markedly inferior to traditional maximum likelihood even in a simple test of the static CAPM with i.i.d. normal returns. This result has gained wide attention. However, as ..."
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Cited by 9 (0 self)
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In a recent Journal of Finance article, Kan and Zhou (1999) find that the “Stochastic discount factor ” methodology using GMM is markedly inferior to traditional maximum likelihood even in a simple test of the static CAPM with i.i.d. normal returns. This result has gained wide attention. However
Stochastic Discount Factor Models and the Equity Premium Puzzle
, 2001
"... One view of the equity premium puzzle is that in the standard asset-pricing model with time-separable preferences, the volatility of the stochastic discount factor, for plausible values of risk aversion, is too low to be consistent with consumption and asset return data. We adopt this characterizati ..."
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One view of the equity premium puzzle is that in the standard asset-pricing model with time-separable preferences, the volatility of the stochastic discount factor, for plausible values of risk aversion, is too low to be consistent with consumption and asset return data. We adopt
A Rehabilitation of Stochastic Methodology Discount Factor
, 2001
"... In a recent Journal of Finance article, Kan and Zhou (1999) find that the "Stochastic discount factor" methodology using GMM is markedly inferior to traditional maximum likelyhood even in a simple test of the static CAPM with i.i.d. normal returns. This result has gained wide attention. Ho ..."
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In a recent Journal of Finance article, Kan and Zhou (1999) find that the "Stochastic discount factor" methodology using GMM is markedly inferior to traditional maximum likelyhood even in a simple test of the static CAPM with i.i.d. normal returns. This result has gained wide attention
A Note on Cyclical Discount Factors and Labor Market Volatility
, 2009
"... In this paper, I examine how time-varying discount factors can contribute to labor mar-ket volatility in a Diamond-Mortensen-Pissarides matching model. I find that the procyclical discount factor of either entrepreneurs or workers can magnify labor market volatility. Quanti-tatively, the entrepreneu ..."
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Cited by 1 (0 self)
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In this paper, I examine how time-varying discount factors can contribute to labor mar-ket volatility in a Diamond-Mortensen-Pissarides matching model. I find that the procyclical discount factor of either entrepreneurs or workers can magnify labor market volatility. Quanti
Complete Monotonicity of the Representative Consumer’s Discount Factor
, 2007
"... A univariate real-valued function is said to be completely monotone if it takes positive values and alternate the signs of its higher order derivatives, starting from everywhere negative first derivatives. We prove that the representative consumer’s discount factor of a continuous-time economy under ..."
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Cited by 2 (2 self)
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A univariate real-valued function is said to be completely monotone if it takes positive values and alternate the signs of its higher order derivatives, starting from everywhere negative first derivatives. We prove that the representative consumer’s discount factor of a continuous-time economy
1 Learning the Gain Values and Discount Factors of Discounted Cumulative Gains
"... Abstract—Evaluation metric is an essential and integral part of a ranking system. In the past several evaluation metrics have been proposed in information retrieval and Web search, among them Discounted Cumulative Gain (DCG) has emerged as one that is widely adopted for evaluating the performance of ..."
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Cited by 1 (0 self)
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of ranking functions usedinWebsearch.However,thetwosetsofparameters,thegain values and discount factors, used in DCG are usually determined in a rather ad-hoc way, and their impacts have not been carefully analyzed. In this paper we first show that DCG is generally not coherent, i.e., comparing
Cumulated Gain-based Evaluation of IR Techniques
- ACM Transactions on Information Systems
, 2002
"... Modem large retrieval environments tend to overwhelm their users by their large output. Since all documents are not of equal relevance to their users, highly relevant documents should be identified and ranked first for presentation to the users. In order to develop IR techniques to this direction, i ..."
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Cited by 694 (3 self)
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along the ranked result list. The second one is similar but applies a discount factor on the relevance scores in order to devaluate late-retrieved documents. The third one computes the relative-tothe -ideal performance of IR techniques, based on the cumulative gain they are able to yield. The novel
DISCOUNT FACTORS EX POST AND EX ANTE, AND DISCOUNTED UTILITY ANOMALIES
"... Abstract. The real options approach is used to explain discounted utility anomalies as artifacts of the optimizing behavior of an individual with standard preferences, who perceives the utility from consumption in the future as uncertain. For this individual, waiting is valuable because uncertainty ..."
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is revealed over time. The fair price (or compensation) that the individual agrees to pay (or accept) today is the expected value of utility of the future gain (or loss) multiplied by a certain non-exponential factor which we interpret as a discount factor ex ante. The factors ex ante are different for gains
Constrained Dynamic Programming With Two Discount Factors: Applications And An Algorithm
"... We consider a discrete time Markov Decision Process, where the objectives are linear combinations of standard discounted rewards, each with a different discount factor. We describe several applications that motivate the recent interest in these criteria. For the special case where a standard discoun ..."
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Cited by 12 (4 self)
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We consider a discrete time Markov Decision Process, where the objectives are linear combinations of standard discounted rewards, each with a different discount factor. We describe several applications that motivate the recent interest in these criteria. For the special case where a standard
Results 11 - 20
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1,848
