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Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
(2013-05-10)
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the ...
Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change
(2018-09-24)
This paper studies a dynamic stochastic general equilibrium model involving climate change. Our framework allows for feedback effects on the temperature dynamics. We are able to match estimates of future temperature ...
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)
"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...
Kenneth French
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...
CMIP5
Under the World Climate Research Programme (WCRP) the Working Group on Coupled Modelling (WGCM) established the Coupled Model Intercomparison Project (CMIP) as a standard experimental protocol for studying the output of ...
Met Office
The Met Office is the national meteorological service for the UK. We provide critical weather services and world-leading climate science, helping you make better decisions to stay safe and thrive.
Hao Zhou Webpage
The variance risk premium taken from Hao Zhou’s homepage.
McKinsey
To provide a fact base on emissions-reduction opportunities and their associated cost and investment needs, McKinsey is continuously researching the topic of abatement or mitigation. We published our first global greenhouse ...
Amit Goyal
We use the price-dividend ratio of the aggregate stock market provided on Amit Goyal’s webpage.