Idiosyncratic risk and the equity premium

DOI10.1016/j.jmateco.2024.103014zbMath1544.91302MaRDI QIDQ6596161

Andrés Carvajal, Hang Zhou

Publication date: 2 September 2024

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

equity premiumidiosyncratic riskhigher-order risk aversion

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Risk-aversion, prudence and temperance
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
• Equilibrium asset prices with undiversifiable labor income risk
• New results for additive and multiplicative risk apportionment
• Rare Disasters and Asset Markets in the Twentieth Century*
• A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
• TESTING THE CONSUMPTION CAPM WITH HEAVY-TAILED PRICING ERRORS
• Consumption-Based Asset Pricing with Higher Cumulants

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