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Ambiguity, Long-run risk, and asset prices
Ambiguity, Long-run risk, and asset prices
Knygos.lt klubas Knygos.lt nariams
49,27 €
-30%
Įprastai
70,39 €
  • Išsiųsime per 12–18 d.d.
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.
  • Leidėjas:
  • Metai: 2013
  • Puslapiai: 60
  • ISBN-10: 3639493443
  • ISBN-13: 9783639493443
  • Formatas: 15.2 x 22.9 x 0.4 cm, minkšti viršeliai
  • Kalba: Anglų

Ambiguity, Long-run risk, and asset prices (el. knyga) (skaityta knyga) | knygos.lt

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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.

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Daugiau
  • Autorius: Wale Dare
  • Leidėjas:
  • Metai: 2013
  • Puslapiai: 60
  • ISBN-10: 3639493443
  • ISBN-13: 9783639493443
  • Formatas: 15.2 x 22.9 x 0.4 cm, minkšti viršeliai
  • Kalba: Anglų

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.

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