Browsing Working papers by Author "Chen, Zhiwu"
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Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures
Hjalmarsson, Erik; Chen, Zhiwu; Bakshi, Gurdip (2005)This paper derives a measure that characterizes the distance between the risk-neutral and the objective probability measures for any candidate asset pricing model. We formally show that the distance metric is equal to the ...