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Long Term Risk

Scheinkman, José (2008-03), Long Term Risk. https://basepub.dauphine.fr/handle/123456789/2284

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Type
Document de travail / Working paper
Date
2008-03
Publisher
Université Paris-Dauphine
Series title
Cahiers de la Chaire Finance et Développement Durable
Series number
7
Published in
Paris
Pages
108
Metadata
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Author(s)
Scheinkman, José
Abstract (EN)
In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered in response to changes in the exposure to the underlying shocks that impinge in the economy. In these lectures we will: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov environments. This is done by studying a principal eigenvalue problem for a conveniently chosen family of valuation operators.
Subjects / Keywords
Risk
JEL
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
D81 - Criteria for Decision-Making under Risk and Uncertainty