w-MPS risk aversion and the shadow CAPM : theory and empirical evidence
Year of publication: |
August-September 2017
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Authors: | Huang, Lin ; Ma, Chenghu ; Nakata, Hiroyuki |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 10/12, p. 947-973
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Subject: | equity premium | w-MPS risk aversion | recursive utility | shadow price | Theorie | Theory | Risikoaversion | Risk aversion | CAPM | Risikoprämie | Risk premium | Opportunitätskosten | Opportunity cost | Schätzung | Estimation |
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