What is the expected return on Bitcoin? Extracting the term structure of returns from options prices

2021 ◽  
pp. 110196
Author(s):  
Sean Foley ◽  
Simeng Li ◽  
Hamish Malloch ◽  
Jiri Svec
Keyword(s):  
Term Structure ◽  
Expected Return

Discounting and Growth

2014 ◽  
Vol 104 (5) ◽  
pp. 534-537 ◽  
Author(s):  
Christian Gollier
Keyword(s):  
Growth Rate ◽  
Term Structure ◽  
Discount Rate ◽  
Risk Premium ◽  
Expected Return ◽  
Time Horizons ◽  
Future Consumption ◽  
Growing Economy ◽  
Climate Damages

In a growing economy, the discount rate to evaluate a long-term investment is the minimum rate of expected return that compensates for the increased intergenerational inequalities. Because the growth rate is uncertain, there is a precautionary argument in favor of lowering the discount rate. If shocks to growth are persistent, this is a robust argument for using a smaller discount rate for more distant time horizons. If climate damages are positively correlated with future consumption, a risk premium should be added to the climate discount rate, which could have an increasing term structure.

The Term Structure of Equity Risk: An Empirical Analysis

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Equity Risk

Investor Wealth Measures and Expected Return

1990 ◽  
Vol 1990 (1) ◽  
pp. 29-37 ◽  
Author(s):  
William F. Sharpe
Keyword(s):  
Expected Return

ANALISIS PORTOFOLIO INVESTASI PADA SAHAM LQ45 DENGAN METODE MEAN VARIAN SATU KONSTRAIN

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 22-29
Author(s):  
Gilang Primajati
Keyword(s):  
Capital Markets ◽  
Minimum Variance ◽  
Return Rate ◽  
Optimal Portfolio ◽  
Portfolio Diversification ◽  
Portfolio Risk ◽  
Expected Return ◽  
Positive Weight ◽  
The Mean

In the capital markets, especially the investment market, the establishment of a portfolio is something that must be understood by investors. Portfolio formation by investors to maximize profits as much as possible by minimizing the risk of losses that may occur. Portfolio diversification is defined as portfolio formation in such a way that it can reduce portfolio risk without sacrificing returns. Optimal portfolio with efficient-portfolio mean criteria, investors only invest in risk assets only. Investors do not include risk free assets in their portfolios. The efficient variance portfolio is defined as a portfolio that has minimum variance among the overall possible portfolio that can be formed, at the same expected return rate. The mean method of one constraint variant can be used as the basis for optimal portfolio determination. The shares of LQ-45 used are shares of AALI, BBCA, UNVR, TLKM and ADHI. AALI shares received a positive weight of 7%, BBCA 48%, UNVR 16%, TLKM 26% and ADHI 3%

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