Long-Term Risk: An Operator Approach
We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous-time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. The members of this fam...
Veröffentlicht in: | Econometrica. - Wiley. - 77(2009), 1, Seite 177-234 |
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Format: | Online-Aufsatz |
Sprache: | English |
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2009
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Zugriff auf das übergeordnete Werk: | Econometrica |
Schlagworte: | Risk-return trade-off long run semigroups Perron-Frobenius theory martingales Philosophy Mathematics Economics Business |
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