BibTeX
@MISC{Veronesi05appendix(a),
author = {Pietro Veronesi},
title = {Appendix (A) The Stochastic Discount Factor},
year = {2005}
}
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Abstract
The properties of the SDF are described in detail in Pástor and Veronesi (2005; PV). This appendix contains a brief summary. The process in equation (10) implies a normal unconditional distribution for yt with mean y and variance σ2y/2ky. Let yD = y − 4σy/ 2ky and yU = y +
