A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic
Year of publication: |
2013-10-14
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Authors: | Han, Qian ; Turvey, Calum G. |
Subject: | General equilibrium | market price of risk | market risk aversion | market pricing kernel | habit formation | stochastic volatility model |
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Type of publication: | Book / Working Paper |
Notes: | published Number 2013-10-14 |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D51 - Exchange and Production Economies ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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