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dc.contributor.authorAase, Knut K.
dc.date.accessioned2014-05-14T06:15:17Z
dc.date.available2014-05-14T06:15:17Z
dc.date.issued2014-02
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/194963
dc.description.abstractWe 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 risk premiums and interest rate. The rst version has consumption history dependent marginal utility and is homogeneous of degree one in consumption, the second version is homothetic. When solving the resulting sup-convolution problem, this gives non-trivial results. A heterogeneous two-agent model is calibrated to the data of Mehra and Prescott (1985) assuming the market portfolio is not a proxy of the wealth portfolio.nb_NO
dc.language.isoengnb_NO
dc.publisherFORnb_NO
dc.relation.ispartofseriesDiscussion paper;05/14
dc.subjectVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO
dc.subjectthe equity premium puzzlenb_NO
dc.subjectthe risk-free rate puzzlenb_NO
dc.subjectrecursive utilitynb_NO
dc.subjectutility gradientsnb_NO
dc.subjectthe stochastic maximum principlenb_NO
dc.subjectheterogeneitynb_NO
dc.subjectlimited market participationnb_NO
dc.titleHeterogeniety and limited stock market participationnb_NO
dc.typeWorking papernb_NO


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