Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Andries, Marianne 

Report
Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty

Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. Calibrating the agents? preferences to explain the market returns observed in the data no longer implies an extreme preference for early resolutions of uncertainty and captures key puzzles in finance on the valuation and demand for risk at long maturities.
Staff Reports , Paper 703

Report
The term structure of the price of variance risk

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is performed separately for different maturities. We find the PVR is negative and decreases in absolute value with maturity; it is more negative and its term structure is steeper when volatility is high. These findings are ...
Staff Reports , Paper 736

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 2 items

FILTER BY Author

FILTER BY Jel Classification

G12 2 items

D03 1 items

D90 1 items

G02 1 items

G13 1 items

FILTER BY Keywords

term structures 2 items

volatility risk 2 items

early resolution 1 items

option returns 1 items

risk aversion 1 items

straddle 1 items

show more (1)

PREVIOUS / NEXT