Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off : An Application to French Data

An Application to French Data

Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off : An Application to French Data
This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive... READ MORE...

Publication date: August 2001
ISBN 9781451854015
$15.00

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