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The reasonable effectiveness of mathematics in economics

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What do robust equity portfolio models really do?

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Equity Premium Puzzle or Faulty Economic Modelling?

Shirvani, Abootaleb - 2020

In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that the high-risk aversion value observed by Mehra...

Persistent link: https://www.econbiz.de/10012842459