haku: @author Francis, J. / yhteensä: 15
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| Tekijä: | Cho, J. Francis, J. |
| Otsikko: | Asset pricing implications of a non-expected recursive utility function |
| Lehti: | International Review of Financial Analysis
1994 : VOL. 3:1, p. 19-35 |
| Asiasana: | FINANCE PRICING UTILITY FUNCTIONS |
| Kieli: | eng |
| Tiivistelmä: | Employing a recently developed non-expected recursive utility function in which intertemporal substitution and risk aversion are disentangled, this paper reviews general equilibrium asset pricing in a pure exchange representative consumer economy. Assuming that the growth rates of aggregate dividends are independently and identically distributed over time, the authors derive closed-form formulas for stock and bond prices and returns, and equity premium are derived. |
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