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The equity premium puzzle and decreasing relative risk aversion

Roche, Maurice (2005) The equity premium puzzle and decreasing relative risk aversion. UNSPECIFIED. (Unpublished)

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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.

Item Type: Other
Additional Information: Department of Economics Working Paper Series N151/02/05
Keywords: asset pricing; equity premium; risk aversion
Subjects: Social Sciences > Economics, Finance & Accounting
Item ID: 207
Depositing User: Ms Sandra Doherty
Date Deposited: 28 Feb 2005
Refereed: No

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