Stochastic Discount Factor is a random variable used in asset pricing that belongs to the class of intertemporal marginal rates of substitution, distinguished by its role in pricing assets through the conditional expectation of the product of the factor and future payoffs.
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31
Variants
SdfStochastic Discount Factors
Parents
Publications
212
Financial Intermediaries and the Cross‐Section of Asset Returns
Tobias Adrian, Erkko Etula, Tyler Muir · The Journal of Finance · 2014 · 824 citations
Arbitrage Theory in Continuous Time
Tomas Björk · 2004 · 435 citations · Full text
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226
National Bureau of Economic Research
Cambridge, United States
19 h-index
43 publications
3.7K citations
Centre de Recherche en Économie et Statistique
Palaiseau, France
9 h-index
18 publications
632 citations
Maastricht University
Maastricht, The Netherlands
8 h-index
8 publications
218 citations
Banque de France
Paris, France
8 h-index
9 publications
257 citations
University of Southern California
Los Angeles, United States
7 h-index
7 publications
248 citations
Institut National de la Statistique et des Etudes Economiques
Paris, France
7 h-index
7 publications
179 citations
Centre for Research in Engineering Surface Technology
Dublin, Ireland
7 h-index
14 publications
358 citations
University of Toronto
Toronto, Canada
7 h-index
7 publications
469 citations
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- SSRN Electronic Journal
Repository · 41 publications · 1.3K citations
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- Review of Financial Studies
14 publications · 786 citations
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- The Journal of Finance
9 publications · 2.5K citations
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- Journal of Financial Economics
6 publications · 823 citations
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- European Journal of Operational Research
5 publications · 150 citations
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