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An endogenous evolution mechanism model of asset prices based on time-varying risk aversion coefficient - MaRDI portal

An endogenous evolution mechanism model of asset prices based on time-varying risk aversion coefficient

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Publication:6618291

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DOI10.1016/j.rinam.2024.100489MaRDI QIDQ6618291

Jing Wang, Zhi Yang

Publication date: 14 October 2024

Published in: Results in Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stability risk aversion time-varying statistical characteristics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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