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Economics / Actuarial science / Financial risk / Financial markets / Behavioral finance / Rare disasters / Equity premium puzzle / Risk premium / Capital asset pricing model / Financial economics / Mathematical finance / Finance


Disaster risk and its implications for asset pricing∗ Jerry Tsai Jessica A. Wachter University of Oxford
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Document Date: 2015-01-26 16:59:33

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Philadelphia / /

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United States / /

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pricing∗ Jerry Tsai Jessica A. Wachter University of Oxford University of Pennsylvania / Oxford University / University of Pennsylvania / Oxford-Man Institute of Quantitative Finance / /

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Online Appendix / continuous-time finance / finance / /

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Bureau of Economic Analysis / Wharton School / Oxford University / Department of Finance / Department of Economics / pricing∗ Jerry Tsai Jessica A. Wachter University / University of Pennsylvania / NBER / Oxford-Man Institute of Quantitative Finance / /

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Xavier Gabaix / Mete Kilic / Zt / Bt / Robert Barro / /

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rt / model / /

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Pennsylvania / /

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