Comparative Risk Aversion for State-Dependent Preferences
نویسندگان
چکیده
منابع مشابه
Asset Returns and State-Dependent Risk Preferences
We propose a consumption-based capital asset pricing model in which the representative agent’s preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functio...
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1 Technical Summary 9 2 Introduction, Retrospect and Preview 11 2.1 Retrospect: Theory 11 2.2 Retrospect: Applications and Moral Hazard 13 2.3 One-Person Games with Moral Hazard 15 2.4 Motivation and Organisation 16 3 A General Framework 18 4 Games Against Nature 20 5 Hypothetical Preferences 22 6 Games with Moral Hazard 27 7 Conditional Expected Utility 34 7.1 Representation Theorem 34 7.2 Ext...
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