• Heterogeniety and limited stock market participation 

      Aase, Knut K. (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 

      Aase, Knut K. (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 

      Aase, Knut K. (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 

      Aase, Knut K. (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 

      Aase, Knut K. (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 ...
    • What puzzles? : new insights in asset pricing 

      Aase, Knut K. (Discussion paper;2012:13, Working paper, 2012-11)
      Motivated by the problems of the conventional model in rationalizing izing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in continuous time. In a representative- agent ...