英文标题：
《Misspecified Recovery》
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作者：
Jaroslav Borovi\\v{c}ka, Lars Peter Hansen, Jos\\\'e A. Scheinkman
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最新提交年份：
2015
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英文摘要：
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors\' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recovers a probability measure that absorbs long-term risk adjustments. When the martingale is not degenerate, surmising that this recovered probability captures investors\' beliefs distorts inference about risk-return tradeoffs. Stochastic discount factors in many structural models of asset prices have empirically relevant martingale components.
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中文摘要：
资产价格包含有关未来状态概率分布的信息，以及投资者使用的这些状态的随机贴现。为了更好地理解区分投资者信念和风险调整贴现的挑战，我们使用Perron-Frobenius理论来分离随机贴现因子过程的正鞅分量。该组件恢复了吸收长期风险调整的概率度量。当鞅不退化时，假设这种恢复的概率抓住了投资者的信念，就会扭曲关于风险回报权衡的推论。许多资产价格结构模型中的随机贴现因子都有与经验相关的鞅分量。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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