Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/178552 
Autor:innen: 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 8 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 2-16
Verlag: 
MDPI, Basel
Zusammenfassung: 
It is generally held that derivative prices do not contain useful predictive information, that is, information relating to the distribution of future financial variables under the real-world measure. This is because the market's implicit forecast of the future becomes entangled with market risk preferences during derivative price formation. A result derived by Ross [1], however, recovers the real-world distribution of an equity index, requiring only current prices and mild restrictions on risk preferences. In addition to being of great interest to the theorist, the potential practical value of the result is considerable. This paper addresses implementation of the Ross Recovery Theorem. The theorem is formalised, extended, proved and discussed. Obstacles to application are identified and a workable implementation methodology is developed.
Schlagwörter: 
Recovery Theorem
Ross recovery
real-world measure
predictive information
state prices
state-price matrix
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
312.73 kB





Publikationen in EconStor sind urheberrechtlich geschützt.