The equity premium puzzle and decreasing relative risk aversion

Maurice Roche

Economics Department Working Paper Series from Department of Economics, National University of Ireland - Maynooth

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

Keywords: asset pricing; equity premium; risk aversion (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2005-02
New Economics Papers: this item is included in nep-fin and nep-fmk
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http://repec.maynoothuniversity.ie/mayecw-files/N1510205.pdf (application/pdf)

Related works:
Journal Article: The equity premium puzzle and decreasing relative risk aversion (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1510205

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