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Dynamic hedging with stocastic differential utility
(Escola de Pós-Graduação em Economia da FGV, 2003-05-22)
In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ...
Asynnnetric smiles, leverage effects and structural parameters
(Escola de Pós-Graduação em Economia da FGV, 2000-07-27)
A consumption CAPM with a reference level
(Escola de Pós-Graduação em Economia da FGV, 2006-03-30)
We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference ...
Equity-premium puzzle: evidence from Brazilian data
(Escola de Pós-Graduação em Economia da FGV, 2005-04-01)
This paper uses 1992:1-2004:2 quarterly data and two di§erent methods (approximation under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in Brazil. In contrast with some previous works ...