Finance Research Seminar

Wirtschaftsuniversität Wien, Departments 3 D3.0.22511:00 - 12:30

Art Vortrag/Diskussion
Vortragende/rDavid Lando (CBS)
Veranstalter Wirtschaftsuniversität Wien Generalized Recovery
Kontakt office@vgsf.ac.at

Finance Rese­arch Seminar orga­nized by VGSF

We charac­te­rize when physical proba­bi­li­ties, marginal utili­ties, and the discount rate can be reco­vered from observed state prices for several future time periods. We make no assump­tions of the proba­bi­lity distri­bu­tion, thus gene­ra­li­zing the time-ho­mo­ge­neous statio­nary model of Ross (2015). Reco­very is feasible when the number of matu­ri­ties with observable prices is higher than the number of states of the economy (or the number of para­me­ters charac­te­ri­zing the pricing kernel). When reco­very is feasible, our model allows a close­d-­form linea­rized solu­tion. We imple­ment our model empi­ri­cally, testing the predic­tive power of the reco­vered expected return and other reco­vered statis­tics.

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