NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?

Yi-Li Chien, Harold L. Cole, Hanno Lustig

NBER Working Paper No. 15382
Issued in September 2009

---- Acknowledgements -----

We would like to thank three anonymous referees, our editor Mark Gertler, Fernando Alvarez, Andrew Ang, Michael Brennan, Markus Brunnermeier, Bruce Carlin, Hui Chen, Bhagwan Chowdry, Bernard Dumas, Martin Lettau, Leonid Kogan, Stefan Nagel, Stavros Panageas, Monika Piazzesi and Martin Schneider, as well as the participants of SITE’s 2009 Asset Pricing session and the 1st annual workshop at the Zurich Center for Computational Economics, the NBER EFG meetings in San Francisco, the NBER AP meetings in Boston, the ES sessions at the ASSA meetings in Atlanta and seminars at Columbia GSB, UCLA Anderson and MIT Sloan, for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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