The equity premium puzzle and decreasing relative risk aversion

Maurice Roche

Applied Financial Economics Letters, 2006, vol. 2, issue 3, 179-182

Abstract: Agents are assumed to have a power risk aversion utility function in an otherwise standard asset-pricing model. When these preferences display decreasing relative risk aversion they are capable of eliminating one version of the equity premium and risk free rate puzzles.

Date: 2006
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Working Paper: The equity premium puzzle and decreasing relative risk aversion (2005)
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DOI: 10.1080/17446540500447611

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