Comparative Dynamics and Risk Premia in an Overlapping Generations Model

Pamela Labadie

The Review of Economic Studies, 1986, vol. 53, issue 1, 139-152

Abstract: An asset pricing model with overlapping generations is developed in order to study the relationship of risk aversion and risk premia and to derive some comparative dynamic results. The main result is that greater risk aversion does not necessarily imply a greater risk premium in this type of model.

Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:53:y:1986:i:1:p:139-152.

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