{"id":7064,"date":"2018-08-21T09:51:41","date_gmt":"2018-08-21T07:51:41","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/arbitrage-free-dispersion\/"},"modified":"2018-08-21T09:51:41","modified_gmt":"2018-08-21T07:51:41","slug":"arbitrage-free-dispersion","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/arbitrage-free-dispersion\/","title":{"rendered":"Arbitrage Free Dispersion"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p>Abstract<\/p><p>We develop a theory of arbitrage-free dispersion (AFD) that<\/p><p>characterizes the testable restrictions of asset pricing models.<\/p><p>AFD measures Jensen&rsquo;s gap in the cumulant generating function<\/p><p>of pricing kernels and returns. It implies a wide family of modelfree<\/p><p>dispersion constraints, which extend dispersion and codispersion<\/p><p>bounds in the literature and are applicable with a<\/p><p>unifying approach in multivariate and multiperiod settings.<\/p><p>Empirically, the dispersion of stationary and martingale pricing<\/p><p>kernel components in the benchmark long-run risk model yields<\/p><p>a counterfactual dependence of shortvs. long-maturity bond<\/p><p>returns and is insufficient for pricing optimal portfolios of market<\/p><p>equity and short-term bonds.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"<p>AbstractWe develop a theory of arbitrage-free dispersion (AFD) thatcharacterizes the testable restrictions of asset pricing models.AFD measures Jensen&rsquo;s gap in the cumulant generating functionof pricing kernels and returns. It implies a wide family of modelfreedispersion constraints, which extend dispersion and codispersionbounds in the literature and are applicable with aunifying approach in multivariate and multiperiod settings.Empirically, the dispersion of stationary and martingale pricingkernel components in the benchmark long-run risk model yieldsa counterfactual dependence of shortvs. long-maturity bondreturns and is insufficient for pricing optimal portfolios of marketequity and short-term bonds.<\/p>\n","protected":false},"author":0,"featured_media":7065,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2018-09-06 12:30:00","event_end_date":"2018-09-06 13:45:00","event_speaker_name":"Fabio Trojani - University of Geneva","event_speaker_link":"","event_is_online":false,"event_location":"Luxembourg School of Finance\r\nJFK Building \r\n29,Avenue J.F Kennedy\r\nL-1855 Luxembourg\r\nGround Floor, Nancy Room","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[309],"events-type":[],"organisation":[116,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Arbitrage Free Dispersion - Universit\u00e9 du Luxembourg<\/title>\n<meta name=\"description\" content=\"AbstractWe develop a theory of arbitrage-free dispersion (AFD) thatcharacterizes the testable restrictions of asset pricing models.AFD measures Jensen&#039;s gap in the cumulant generating functionof pricing kernels and returns. It implies a wide family of modelfreedispersion constraints, which extend dispersion and codispersionbounds in the literature and are applicable with aunifying approach in multivariate and multiperiod settings.Empirically, the dispersion of stationary and martingale pricingkernel components in the benchmark long-run risk model yieldsa counterfactual dependence of shortvs. long-maturity bondreturns and is insufficient for pricing optimal portfolios of marketequity and short-term bonds.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fr\/events\/arbitrage-free-dispersion\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Arbitrage Free Dispersion\" \/>\n<meta property=\"og:description\" content=\"AbstractWe develop a theory of arbitrage-free dispersion (AFD) thatcharacterizes the testable restrictions of asset pricing models.AFD measures Jensen&#039;s gap in the cumulant generating functionof pricing kernels and returns. 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