Jouini, E.; Napp, C. - In: Journal of Economic Dynamics and Control 32 (2008) 11, pp. 3682-3694
In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset...