Blar i Discussion papers (FOR) på emneord "the equity premium puzzle"
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Beyond the local mean-variance analysis in continuous time. The problem of non-normality
(Discussion paper;11/15, Working paper, 2015-02-23)The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas ... -
Elements of economics of uncertainty and time with recursive utility
(Discussion paper;13/20, Working paper, 2020-10-30)We address how recursive utility affects important results in the theory of economics of uncertainty and time, as compared to the standard model, where the focus is on dynamic models in discrete time. Several puzzles ... -
Heterogeniety and limited stock market participation
(Discussion paper;05/14, Working paper, 2014-02)We derive the equilibrium interest rate and risk premiums using recursive utility with heterogeneity in a continuous time model. Two ordinally equivalent versions are considered, each associated with a di erent set of ... -
Jump dynamics : the equity premium and the risk-free rate puzzles
(Discussion paper, Working paper, 2004-06)The paper develops a consumption based equilibrium model, focusing on the risk premium and the risk-free interest rate. We derive testable expressions for these quantities, and confront these with sample estimates for the ... -
Recursive utility and disappearing puzzles for continuous-time models
(Discussion papers;2013/02, Working paper, 2013-05)Motivated by the problems of the conventional model in rational- izing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. Two ordinally equivalent ... -
Recursive utility and the equity premium puzzle: A discrete-time approach
(Discussion papers;2013/03, Working paper, 2013-05)We study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the underlying model is not Markovian, we use methods not depending upon the Markov property to solve the model. ... -
Recursive utility using the stochastic maximum principle
(Discussion paper;03/14, Working paper, 2014-02)Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. We consider ... -
The Life Cycle Model with Recursive Utility: New insights on optimal consumption
(Discussion papers;19/14, Working paper, 2014-05)We analyze optimal consumption, including pensions, during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The model framework is that of continuous-time with diffusion ...