Asset pricing in a production economy with Chew–Dekel preferences
نویسندگان
چکیده
منابع مشابه
Asset Pricing with Heterogeneous Preferences
Finding a stochastic discount factor that is robust to model misspecification is not trivial. I consider a general equilibrium model with many agents who can invest their wealth in many assets. As long as (i) agents have (individual-, time-, and state-dependent) recursive preferences that are homothetic in current consumption and continuation value with a common relative risk aversion coefficie...
متن کاملAsset Pricing in a Monetary Economy with Heterogeneous Beliefs
In this paper, we shed new light on the role of monetary policy in asset pricing by focusing on the case where investors have heterogeneous expectations about future monetary policy. This case is realistic, because central banks are typically less than perfectly open on their intentions. Accordingly, surveys of economists in the press reveal that they frequently disagree in their expectations. ...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملAsset Pricing With Multiplicative Habit and Power-Expo Preferences
Multiplicative habit introduces an additional consumption risk as a determinant of equity premium, and allows time preference and habit strength, in addition to risk aversion, to affect “price of risk”. A model combining multiplicative habit and power-expo preferences cannot be rejected.
متن کاملEquilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences
We provide general representations for the rate of return and the volatility of a risky asset and for the optimal portfolios in equilibrium with heterogeneous agents. Our universal representations allow for arbitrary utility functions and an arbitrary diffusion process for the state variable. The key element is a new object that we call the “rate of macroeconomic fluctuations”: In equilibrium, ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2010
ISSN: 1094-2025
DOI: 10.1016/j.red.2009.06.005