Constant relative risk aversion utility and consumption CAPM: discount factors and risk aversions for Norway, Sweden, and the UK

Constant relative risk aversion utility and consumption CAPM: discount factors and risk aversions for Norway, Sweden, and the UK

AbstractThis paper applies the newly suggested Markov chained Monte Carlo Surface Sampling Algorithm of Zappa estimating European discount factors and relative risk aversions for the CRRA utility functions based on the consumption capital asset pricing model (CCAPM). The relatively challenging estim...

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Bibliographic Details
Main Author: Per Bjarte Solibakke
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Economics & Finance
Subjects:
CRRA utility
discount factors
equity premium
MCMC surface sampling
nonparametric bayes
relative risk aversion
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2023.2299609

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