MURAL - Maynooth University Research Archive Library



    The equity premium puzzle and decreasing relative risk aversion


    Share and Export

    Roche, Maurice (2005) The equity premium puzzle and decreasing relative risk aversion. UNSPECIFIED. (Unpublished)

    [thumbnail of N151_02_05.pdf] PDF
    Available under License Creative Commons Attribution Non-commercial Share Alike.
    Download (50kB)

    Abstract

    Agents 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.
    Item Type: Other
    Additional Information: Department of Economics Working Paper Series N151/02/05
    Keywords: asset pricing; equity premium; risk aversion
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 207
    Depositing User: Ms Sandra Doherty
    Date Deposited: 28 Feb 2005
    Refereed: No
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

    Downloads

    Downloads per month over past year

    Origin of downloads

    Repository Staff Only (login required)

    Item control page
    Item control page
    MURAL - Maynooth University Research Archive Library is powered by EPrints 3.4 which is developed by the School of Electronics and Computer Science at the University of Southampton. About EPrints | Accessibility