Long‐Term Risk: An Operator Approach

By Lars Peter Hansen, Jose A. Scheinkman. 2006

302 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c854aa4e30c5576780ee1373153ec718953d7b49

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Citations in the corpus

Nonparametric stochastic discount factor decomposition (2014, methodology): “its researchers to use data to investigate the long-run valuation implications of dierent preferences without having to specify the dynamics and SDF in a way that makes analytical solution feasible. Hansen and Scheinkman (2009) show that the permanent and transitory components of the SDF may be extr”
Local Identification of Nonparametric and Semiparametric Models (2011, unknown): “δ0 −∆,δ0 +∆]× [γ0−∆,γ0+∆]. Note that Ht(β,g) is twice continuously diﬀerentiable in βand by construction of Dt that sup β∈B t ∂Ht(β,g) ∂β 2 ≤ Dg(ct+1), sup β∈B t ∂ Ht(β,g) ∂βj∂β ≤ Dg(ct+1), (j= 1,2). [32] Therefore by standard results E[ρ(Yt,β,g)|Wt] = E[Ht(β,g)|Wt] − g(ct) is twice continuously diﬀ”
Asset pricing tests with long run risks in consumption growth (2011, unknown): “Substituting the expressions for xt and (2)t from equations (21) and (22) into the above expression for the pricing kernel, we have”
Consumption Strikes Back? Measuring Long‐Run Risk (2008, unknown): “We follow Hansen and Scheinkman (2006) by formalizing the approximation problem as a change in measure.”
Portfolios and risk premia for the long run. (2012, unknown): “The bounds (25) and (26) decompose expected utility and its dual into a common “long-run” component e , and two “transient” components, in a close analogy to Hansen and Scheinkman (2009). For a multiplicative functional N of a Markov process Y , they propose the decomposition”
Understanding, modelling and managing longevity risk: key issues and main challenges (2012, background): “Nevertheless, an abundant literature on the economic aspects of long-term policy-making has been developed (see for example Gollier (2007, 2008), Hansen and Scheinkman (2009) or Breeden (1979)).”