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Published March 12, 2019 | Version v1
Working paper Open

If only we knew the drift

Description

Based on a simple stochastic model, we illustrate that the market price of risk can hardly be estimated.

Notes

+ Reihe: IFZ Working Paper, 0006/2019 + ISSN: 1662-520X

Files

IFZ Working Paper Series 0006 2019.pdf

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