Is the market price of risk infinite?

DOI10.1016/J.ECONLET.2008.10.002zbMath1284.91219OpenAlexW2029472734MaRDI QIDQ1038085

Timothy Cogley

Publication date: 17 November 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.10.002

zbMATH Keywords

learningwedgesmarket price of riskHansen-Jagannathan bound

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

Cites Work

• Prospect Theory: An Analysis of Decision under Risk
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• A note on some limitations of CRRA utility
• Unnamed Item

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