Northwestern University

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Filtering by: Creator Likuan Qin Resource type Dissertation Subject Industrial Engineering and Management Sciences

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The Recovery Theorem and Long-Term Factorization of the Pricing Kernel

Description:

Ross (2015) proposed a recovery theorem which uses prices of contingent claims to recover market’s expectations about underlying asset returns. His work relies on two assumptions. He assumes all uncertainty of the economy follows a finite state irreducible Markov chain and that the pricing kernel is transition independent. We first...

Keyword:

Industrial Engineering and Management Sciences

Subject:

Industrial Engineering and Management Sciences

Creator:

Likuan Qin

Owner:

Scholarly Digital Publishing

Date Uploaded:

04/13/2018

Date Modified:

04/13/2018

Date Created:

2017-01-01

Resource Type:

Dissertation