English, Article edition: An extended Stein's lemma for asset pricing Paul Soderlind

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Physical Description
  • article
Language
  • English

Edition details

Title
  • An extended Stein's lemma for asset pricing
Author
  • Paul Soderlind
Physical Description
  • article
Notes
  • Stein's lemma is extended to the case where asset returns have skewed and leptokurtic distributions. The risk premium is still the negative of the covariance of the excess return with the log stochastic discount factor. The risk-neutral distribution has a simple form but is a nontrivial transformation of the physical distribution.
  • RePEc:taf:apeclt:v:16:y:2009:i:10:p:1005-1008
Language
  • English
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