The Recovery Theorem
从期权价格中观察到的状态价格是风险厌恶与自然概率分布的乘积，恢复定理能将其分离，从而仅从状态价格推断市场对收益的预测和风险厌恶水平。
ABSTRACT We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion—the pricing kernel—and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state prices alone. Among other things, this allows us to recover the pricing kernel, market risk premium, and probability of a catastrophe and to construct model‐free tests of the efficient market hypothesis.