The equity premium puzzle and decreasing relative risk aversion
Roche, Maurice (2005) The equity premium puzzle and decreasing relative risk aversion. . AbstractAgents 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.
| Additional Information: | Department of Economics Working Paper Series N151/02/05 |
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| Keywords: | asset pricing; equity premium; risk aversion |
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| Subjects: | Social Sciences > Economics |
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| ID Code: | 207 |
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| Deposited By: | Ms Sandra Doherty |
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| Deposited On: | 28 Feb 2005 |
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| Refereed: | No |
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