Equilibrium asset pricing with Epstein-Zin and loss-averse investors
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Publication:1655625
DOI10.1016/J.JEDC.2016.12.008zbMath1401.91074OpenAlexW3122171757MaRDI QIDQ1655625
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.12.008
loss aversionheterogeneous agentsrecursive utilitymarket dominanceequilibrium asset pricinggain-loss ratio
Related Items (3)
Equilibrium variance risk premium in a cost-free production economy ⋮ A new preference model that allows for narrow framing ⋮ The loss-averse newsvendor problem with quantity-oriented reference point under CVaR criterion
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