Browsing Department of Business and Management Science by Subject "jump-diffusions"
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Beyond the local mean-variance analysis in continuous time. The problem of non-normality
(Discussion paper;11/15, Working paper, 2015-02-23)The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas ...