Explaining Asset Pricing Puzzles in the RBC framework: The Prospect Theory Approach

Rafal Raciborski and Julia Lendvai
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Julia Lendvai: European Commission

No 1260, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: The rest of the paper is organized as follows. The next section relates our work to the existing literature. In the following section some characteristics of the Prospect Theory are displayed. Then the setting of the model is explained and the first order conditions derived. The calibration issues and the numerical solution technique are also presented in that section. We discuss our results in section 4. Section 5 compares properties of the standard and the loss-averse preferences and the last section concludes.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed009:1260

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