The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model

Dominique Pépin ()

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Abstract: By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.

Keywords: subjective discount factor; risk aversion; asset prices; equilibrium; risk premium (search for similar items in EconPapers)
Date: 2016-06
New Economics Papers: this item is included in nep-sog and nep-upt
Note: View the original document on HAL open archive server: https://hal.science/hal-01299834v2
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Published in Economics Bulletin, 2016, 36 (2)

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Related works:
Journal Article: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model (2016)
Working Paper: The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model (2016)
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