Lai, Ke-Hung; Chen, Shu-Heng; Huang, Ya-Chi - Society for Computational Economics - SCE - 2005
In this paper, an agent-based computational capital asset pricing model is applied to address an issue, known as the elasticity puzzle, originating from a famous reciprocal relation between the elasticity of intertemporal substitution (EIS) and the relative risk aversion (RRA) coefficient. By...