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A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
Strctural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
risk factors structural change long memory fractional cointegration portfolio allocation
2014/6/26
We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper,we point to structural breaks in the volatility of the facto...