When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance
收藏NBER2021-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w29195
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资源简介：
We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in equilibrium
提供机构：
美国国家经济研究局
创建时间：
2021-08-01
