Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity

2020 ◽  
Vol 53 ◽  
pp. 101236
Author(s):  
Mariano González-Sánchez ◽  
Juan Nave ◽  
Gonzalo Rubio
Author(s):  
Stoyan V Stoyanov ◽  
Francesco A Fabozzi

Abstract In empirical equity asset pricing, the stochastic discount factor (SDF) is implicitly modeled as a linear function of equity factors and is influenced by the empirical properties of the factor returns. We investigate the pricing error introduced by a misspecified SDF which ignores each of the following established empirical phenomena: autocorrelation, dynamics of covariances, dynamics of correlations, and heavy tails for the conditional factor return distribution. We consider near-linear SDFs and nonlinear specifications characterized by a high degree of risk aversion. We find that assuming constant covariances or constant correlations can significantly overprice certain equity portfolios at all risk-aversion levels and that ignoring fat tails can lead to large pricing errors for some derivative assets for highly nonlinear SDFs.


2006 ◽  
Vol 45 (01) ◽  
pp. 57-61
Author(s):  
M. Puille ◽  
D. Steiner ◽  
R. Bauer ◽  
R. Klett

Summary Aim: Multiple procedures for the quantification of activity leakage in radiation synovectomy of the knee joint have been described in the literature. We compared these procedures considering the real conditions of dispersion and absorption using a corpse phantom. Methods: We simulated different distributions of the activity in the knee joint and a different extra-articular spread into the inguinal lymph nodes. The activity was measured with a gammacamera. Activity leakage was calculated by measuring the retention in the knee joint only using an anterior view, using the geometric mean of anterior and posterior views, or using the sum of anterior and posterior views. The same procedures were used to quantify the activity leakage by measuring the activity spread into the inguinal lymph nodes. In addition, the influence of scattered rays was evaluated. Results: For several procedures we found an excellent association with the real activity leakage, shown by an r² between 0.97 and 0.98. When the real value of the leakage is needed, e. g. in dosimetric studies, simultaneously measuring of knee activity and activity in the inguinal lymph nodes in anterior and posterior views and calculation of the geometric mean with exclusion of the scatter rays was found to be the procedure of choice. Conclusion: When measuring of activity leakage is used for dosimetric calculations, the above-described procedure should be used. When the real value of the leakage is not necessary, e. g. for comparing different therapeutic modalities, several of the procedures can be considered as being equivalent.


2020 ◽  
Vol 96 (1) ◽  
pp. 43-55
Author(s):  
Jorge Holzer ◽  
Kenneth McConnell
Keyword(s):  

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