Showing 1 - 10 of 15,934
Persistent link: https://www.econbiz.de/10012939292
-expected utility which clearly distinguishes between risk preference and time preference. The leverage approach yields the first moment … Carlo simulations. Preferences are modeled by time-additive expected utility and, alternatively, by recursive non …-expected utility. The empirical results for the period 1960 to 1994 confirm those for the U.S. and favour the use of recursive non …
Persistent link: https://www.econbiz.de/10009681108
Persistent link: https://www.econbiz.de/10012439149
Persistent link: https://www.econbiz.de/10001105885
Persistent link: https://www.econbiz.de/10001174392
Persistent link: https://www.econbiz.de/10012607134
Persistent link: https://www.econbiz.de/10000774359
disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …
Persistent link: https://www.econbiz.de/10012973305
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …
Persistent link: https://www.econbiz.de/10012910108