کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986868 1480896 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asset pricing under quantile utility maximization
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Asset pricing under quantile utility maximization
چکیده انگلیسی

“Focus on the downside, and the upside will take care of itself” is a famous quote among professional investors. By considering an agent who follows this advice, we reproduce the first and second moments of stock returns, risk-free rate and consumption growth. The agent's behavior toward risk is analogous to a relative risk aversion of about 3 under expected utility, the elasticity of intertemporal substitution is about 0.5 and the time discount factor is below 1. In particular, the proposed model separates time and risk preferences in an innovative way.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 22, Issue 4, November 2013, Pages 169–179
نویسندگان
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