Browsing by Subject "Asset pricing"

Now showing items 1-2 of 2

    • Working Paper  Open Access

      A Political Capital Asset Pricing Model 

      Pagliardi, Giovanni; Poncet, Patrice; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)
      We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...
    • Working Paper  Open Access

      Pricing and Hedging GDP-Linked Bonds in Incomplete Markets 

      Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)
      We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...