Sentences with phrase «stochastic discount»

«Nonparametric Estimation and Testing of Stochastic Discount Factor.»

The stochastic discount factor is time varying and by just the right amount to explain the variance in returns (and the high volatility of the stock market).

Time variation of the stochastic discount tells us to expect low returns on equity during good economic times.

No Frances, think Finance 101 — the expected return on equity is a statement of risk aversion encoded in the stochastic discount factor.

Not exact matches

And I'm not asking you to do some discounted cash flow with options pricing and stochastic calculus.