Jouini, Elyès; Napp, Clotilde - HAL - 2008
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 (see Abel, A., 2002. An exploration of … introduce, on the set of subjective probability beliefs, market price of risk dominance concepts and we relate them to well …