Habit formation and the equity-premium puzzle: a skeptical view
We argue that ceteris paribus, introducing a habit that resolves the equity premium puzzle is equivalent to increasing the coefficient of relative risk aversion. Thus, if habit is modeled subject to the constraint that the Arrow-Pratt coefficient of relative risk aversion is held at a constant "...
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| 格式: | Working paper |
| 出版: |
University of Oxford
2004
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