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The Semimartingale Equilibrium Risk Premium for a Risk Seeking Investor

George M. Mukupa and Elias R. Offen

Journal of Mathematics Research, 2020, vol. 12, issue 4, 13

Abstract: In this paper, we consider jump amplitudes which are arbitrary and normal to study the risk seeking investor's equilibrium risk premium in the semimartingale market. We realize that, there is no optimal consumption for this investor in the market. The investor's premium differ significantly with risk aversion in both martingale and semimartingale markets in that the risk seeking investor has no optimal consumption and the wealth process only affects the rare-event premia with no effect on the diffusive premia. The compensation for this investor is highly attractive compared to risk aversion in this market.

JEL-codes: R00 Z0 (search for similar items in EconPapers)
Date: 2020
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