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Ambiguity, Long-run risk, and asset prices

 

Marketed By :  AV Akademikerverlag   Sold By :  Kamal Books International  
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Rs. 2,675

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  • Product Description
 

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.

Product Specifications
SKU :COC67505
AuthorWale Dare
LanguageEnglish
BindingPaperback
Number of Pages60
Publishing Year2013-12-06T00:00:00.000
ISBN9783639493443
Edition1 st
Book TypeLaw
Country of ManufactureIndia
Product BrandAV Akademikerverlag
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00