An Empirical Implementation of the Shadow Riskless Rate
We address the problem of asset pricing in a market where there are no risky assets. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market, based on the drift component of the state-price deflator for that asset universe. Assuming that asset prices are modele...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-11-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/12/12/187 |
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