An Equilibrium Model of Rare Event Premia
In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but also to...
| Main Authors: | , , |
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| Language: | en_US |
| Published: |
2002
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| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/1575 |