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Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty · Study

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PreprintHorizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty

Marianne Andries2014

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Preprintgreen2014

Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty

Marianne Andries · Thomas M. Eisenbach · Martin C. Schmalz

29 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1997Golden Eggs and Hyperbolic Discounting 2002Risk Aversion and Incentive Effects 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2006The Cross‐Section of Volatility and Expected Returns 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2535919

openalex_workW1531041850

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