Giordani, Paolo (contributor); Söderkind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2003
simplified version of the model in Abel (2002). It shows the risk
premium on a consumption claim when the representative investor … coefficient of relative risk aversion. The first term on the right hand side
3
is the risk premium under rational expectations … does contribute to the risk premium, its role is much smaller than that of
the individual uncertainty. The intuition is …