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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
Éditeur
Université Paris-Dauphine
Titre de la collection
Cahiers de la Chaire Finance et Développement Durable
Numéro dans la collection
7
Ville d’édition
Paris
Pages
108
Métadonnées
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Auteur(s)
Scheinkman, José
Résumé (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.
Mots-clés
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