Horizon Risk and Asset Pricing

G. Hubner

Working Papers from Southern California - School of Business Administration

Abstract: This paper presents an equilibrium asset pricing model with incomplete information on returns and agents' utility. Only some moments of the returns distributions are observable, and investors associate a return's riskness to the time required for its mean to converge around its expectation, which they measure through Chebyshev-type inequalities.

Keywords: FINANCIAL MARKET; PRICES; RISK (search for similar items in EconPapers)
JEL-codes: G11 G12 C14 (search for similar items in EconPapers)
Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:fth:socabu:99-57

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