• Anglický jazyk

Ambiguity, Long-run risk, and asset prices

Autor: Wale Dare

We study the U.S. equity market via a representative agent model with ambiguity averse preference over consumption and leisure. Labor income dynamics are explicitly modeled with a persistent time varying component which is shared in common with the dividend... Viac o knihe

Na objednávku

29.61 €

bežná cena: 32.90 €

O knihe

We study the U.S. equity market via a representative agent model with ambiguity averse preference over consumption and leisure. Labor income dynamics are explicitly modeled with a persistent time varying component which is shared in common with the dividend process. This framework is shown to generate enough equity risk premia to match the level in historical data, without making unreasonably high assumptions about the agent's risk aversion.

  • Vydavateľstvo: AV Akademikerverlag
  • Rok vydania: 2013
  • Formát: Paperback
  • Rozmer: 220 x 150 mm
  • Jazyk: Anglický jazyk
  • ISBN: 9783639493443

Generuje redakčný systém BUXUS CMS spoločnosti ui42.