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

Dieses Objekt wird bereitgestellt von:
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

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