arXiv Open Access 2016

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

Dominique Pepin

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Abstrak

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.

Topik & Kata Kunci

q-fin.CP q-fin.GN

Penulis (1)

Dominique Pepin

Format Sitasi

APA MLA BibTeX

Pepin, D. (2016). The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model. https://arxiv.org/abs/1604.03337

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Informasi Jurnal

Tahun Terbit: 2016
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓