Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.

DOI10.1016/S0165-1889(01)00078-1zbMath1033.91023OpenAlexW2027960363MaRDI QIDQ1605201

Lihui Zheng, Gregory C. Chow

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00078-1

zbMATH Keywords

Robust controlLagrange methodAsset pricingConsumption sensitivityOptimum consumption and investment

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Cites Work

• Unnamed Item
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Robust Permanent Income and Pricing

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