Arbeitspapier
The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time
Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend on the time of evaluation or the maturity of payoffs. This results in a time inconsistent pricing scheme. The dynamics can be captured by a time-delayed backward stochastic Volterra integral equation, which to the best of our knowledge, has not yet been studied.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 72
- Klassifikation
-
Wirtschaft
- Thema
-
term structures
sharpe ratio
incomplete markets
asset pricing
time inconsistency
arbitrage
(time-delayed) volterra equations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beissner, Patrick
Rosazza Gianin, Emanuela
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
- (wo)
-
München und Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beissner, Patrick
- Rosazza Gianin, Emanuela
- Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
Entstanden
- 2018