Smart Stochastic Discount Factors
Published Online:13 Nov 2025https://doi.org/10.1287/mnsc.2024.05750
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The replication files for this article are available HERE.
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- Received:April 18, 2024
- Accepted:June 20, 2025
- Published Online:November 13, 2025
Copyright © 2025, INFORMS
Cite as
Sofonias Alemu Korsaye, Alberto Quaini, Fabio Trojani (2025) Smart Stochastic Discount Factors. Management Science 0(0).
https://doi.org/10.1287/mnsc.2024.05750
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The authors thank Kay Giesecke, an anonymous associate editor, and two referees for valuable input. The authors received helpful comments and suggestions from Caio Almeida, Federico Bandi, Tony Berrada, Svetlana Brizlagova, Federico Carlini, Ines Chaieb, George Constantinides, Jerome Detemple, Patrick Gagliardini, Eric Ghysels, Lars Hansen, Oliver Linton, Stefan Nagel, Paolo Porchia, Olivier Scaillet, Paul Schneider, Andrea Vedolin, Michael Weber, Dacheng Xiu, and Paolo Zaffaroni.
