haku: @freeterm INDEPENDENCE AXIOM / yhteensä: 1
viite: 1 / 1
« edellinen | seuraava »
| Tekijä: | Epstein, L. G. Zin, S. E. |
| Otsikko: | The independence axiom and asset returns |
| Lehti: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 537-572 |
| Asiasana: | ASSETS RISK |
| Vapaa asiasana: | INDEPENDENCE AXIOM |
| Kieli: | eng |
| Tiivistelmä: | This paper integrates models of atemporal risk preference that relax the independence axiom into a recursive intertemporal asset-pricing framework. The resulting models are amenable to empirical analysis using market data and standard Euler equation methods. The authors are thereby able to provide the first nonlaboratory-based evidence regarding the usefulness of several new theories of risk preference for addressing standard problems in dynamic economics. |
« edellinen | seuraava »
SCIMA