Add to ORKGAgents are assumed to have a power risk aversion utility function in an otherwise standard asset pricing model. These preferences are shown to be capable of eliminating one version of the equity premium and risk free rate puzzles when they display decreasing relative risk aversion
This paper examines how a preference for robustness affects optimal consumption-portfolio rules as w...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasou...
Agents are assumed to have a power risk aversion utility function in an otherwise standard asset pri...
This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-P...
This paper studies the implications for general equilibrium asset pricing of a class of Kreps-Porteu...
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only sour...
This study provides the solution to the equity premium puzzle. The new model was developed by includ...
As one of the core models of finance, the consumer capital asset pricing model (CCAPM) has produced ...
This paper studies the implications for general equilibnum asset pricing of a class of Kreps-Porteus...
In this paper, I adopt an economic equilibrium model utilizing the framework introduced by Mehra and...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...
We consider the risk premium demanded by a decision maker with wealth x in order to be indifferent b...
In this paper, another factor that affects equity risk premium is derived from a simple classical mo...
We show that several well-known asset pricing puzzles are largely mitigated if we endow the represen...
This paper examines how a preference for robustness affects optimal consumption-portfolio rules as w...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasou...
Agents are assumed to have a power risk aversion utility function in an otherwise standard asset pri...
This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-P...
This paper studies the implications for general equilibrium asset pricing of a class of Kreps-Porteu...
Standard consumption-based asset pricing models focus on the consumption risk, seen as the only sour...
This study provides the solution to the equity premium puzzle. The new model was developed by includ...
As one of the core models of finance, the consumer capital asset pricing model (CCAPM) has produced ...
This paper studies the implications for general equilibnum asset pricing of a class of Kreps-Porteus...
In this paper, I adopt an economic equilibrium model utilizing the framework introduced by Mehra and...
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Pr...
We consider the risk premium demanded by a decision maker with wealth x in order to be indifferent b...
In this paper, another factor that affects equity risk premium is derived from a simple classical mo...
We show that several well-known asset pricing puzzles are largely mitigated if we endow the represen...
This paper examines how a preference for robustness affects optimal consumption-portfolio rules as w...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasou...