| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5090041 | Journal of Banking & Finance | 2012 | 7 Pages |
Abstract
⺠We improve payoffs for a risk-averse investor with a fixed planning horizon. ⺠Attractivity of payoffs is solely linked to the pricing kernel. ⺠For every payoff, we construct a more attractive alternative. ⺠This improved payoff is a function of the pricing kernel at the planning horizon. ⺠Path-dependent payoffs are attractive if and only if the kernel is path-dependent.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stefan Kassberger, Thomas Liebmann,