The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
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Cited by:
- Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011.
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Scholarly Articles
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- Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
- Tran, Ngoc-Khanh & Zeckhauser, Richard, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Working Papers 11-44, University of Pennsylvania, Wharton School, Weiss Center.
- Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series rwp11-026, Harvard University, John F. Kennedy School of Government.
- Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009.
"More hedging instruments may destabilize markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November.
- William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2006. "More hedging instruments may destabilize markets," CeNDEF Working Papers 06-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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"Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility,"
Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, April.
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- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Swiss Finance Institute Research Paper Series 07-37, Swiss Finance Institute.
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More about this item
Keywords
General equilibrium; Options; Volatility; Risk-sharing;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2006-10-28 (Dynamic General Equilibrium)
- NEP-FIN-2006-10-28 (Finance)
- NEP-UPT-2006-10-28 (Utility Models and Prospect Theory)
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