英文标题：
《Long Term Risk: A Martingale Approach》
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作者：
Likuan Qin and Vadim Linetsky
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最新提交年份：
2016
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英文摘要：
  This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discretetime ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian environments to general semimartingale environments. The transitory component discounts at the stochastic rate of return on the long bond and is factorized into discounting at the long-term yield and a positive semimartingale that extends the principal eigenfunction of Hansen and Scheinkman (2009) to the semimartingale setting. The permanent component is a martingale that accomplishes a change of probabilities to the long forward measure, the limit of T-forward measures. The change of probabilities from the data generating to the long forward measure absorbs the long-term risk-return trade-off and interprets the latter as the long-term risk-neutral measure.
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中文摘要：
本文将Alvarez和Jermann（2005）在离散时间遍历环境中以及Hansen和Scheinkman（2009）和Hansen（2012）在马尔可夫环境中引入和研究的随机折扣因子的长期因子分解推广到一般半鞅环境。短期成分按长期债券的随机收益率贴现，并被分解为按长期收益率贴现和正半鞅，该半鞅将Hansen和Scheinkman（2009）的主特征函数扩展到半鞅设置。永久分量是一个鞅，它实现了对长前向测度的概率变化，即T前向测度的极限。从数据生成到远期度量的概率变化吸收了长期风险收益权衡，并将后者解释为长期风险中性度量。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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