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    The equity premium puzzle and decreasing relative risk aversion


    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 (Unpublished)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:
      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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