Auteur Fousseni Chabi-Yo
Documents disponibles écrits par cet auteur (2)
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Article : texte imprimé
Turan G. Bali, Auteur ; Nusret Cakici, Auteur ; Fousseni Chabi-Yo, Auteur |This paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810–836) and Foster and Hart (F[...]
Article : texte imprimé
Fousseni Chabi-Yo, Auteur |I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investo[...]
