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Roche, Maurice (2005) The equity premium puzzle and decreasing relative risk aversion. UNSPECIFIED. (Unpublished)
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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 |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/207 |
| 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 |
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