Add to ORKGThis paper studies the implications for general equilibnum asset pricing of a class of Kreps-Porteus nonexpected utility preferences characterized by a constant intertemporal elasticity of substitution and a constant, but unrelated, coefficient of relative risk aversion. It is shown that relaxing the parametric restriction on tastes imposed by the time-additive expected utility specification does not suffice to solve the Mehra-Prescott (1985) equity premium puzzle. An additional puzzle- the risk-free rate puzzle- emerges instead: why is the risk-free rate so low if agents are so averse to intertemporal substitution? 1
This paper examines expected returns on a consumption claim and a risk-free asset by incorporating t...
Agents with standard, time-separable preferences do not care about the temporal distribution of risk...
We study the implications of producers ’ first-order conditions for the link between investment and ...
This paper studies the implications for general equilibrium asset pricing of a recently introduced c...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
Agents are assumed to have a power risk aversion utility function in an otherwise standard asset pri...
We re-examine the Mehra and Prescott (1985) model. Allowing the time preference factor to be greater...
The paper investigates the role of the Intertemporal Elasticity of Substitution () in determining th...
grantor: University of TorontoRepresentative agent models that embed the Lucas-Breeden (Lu...
In this thesis, we calibrate recursive utility models in discrete and continuous time, and find a r...
The paper develops a consumption based equilibrium model, focusing on the risk premium and the risk-...
Motivated by the problems of the conventional model in rationalizing izing market data, we derive th...
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only sour...
We show that several well-known asset pricing puzzles are largely mitigated if we endow the represen...
This paper examines expected returns on a consumption claim and a risk-free asset by incorporating t...
Agents with standard, time-separable preferences do not care about the temporal distribution of risk...
We study the implications of producers ’ first-order conditions for the link between investment and ...
This paper studies the implications for general equilibrium asset pricing of a recently introduced c...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
Agents are assumed to have a power risk aversion utility function in an otherwise standard asset pri...
We re-examine the Mehra and Prescott (1985) model. Allowing the time preference factor to be greater...
The paper investigates the role of the Intertemporal Elasticity of Substitution () in determining th...
grantor: University of TorontoRepresentative agent models that embed the Lucas-Breeden (Lu...
In this thesis, we calibrate recursive utility models in discrete and continuous time, and find a r...
The paper develops a consumption based equilibrium model, focusing on the risk premium and the risk-...
Motivated by the problems of the conventional model in rationalizing izing market data, we derive th...
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only sour...
We show that several well-known asset pricing puzzles are largely mitigated if we endow the represen...
This paper examines expected returns on a consumption claim and a risk-free asset by incorporating t...
Agents with standard, time-separable preferences do not care about the temporal distribution of risk...
We study the implications of producers ’ first-order conditions for the link between investment and ...