Comparative Dynamics and Risk Premia in an Overlapping Generations Model

DOI10.2307/2297597zbMath0579.90015OpenAlexW1986792533MaRDI QIDQ3703601

Pamela A. Labadie

Publication date: 1986

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297597

zbMATH Keywords

asset pricingoverlapping generationsrisk aversionrisk premiacomparative dynamic

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (8)

The volatility of asset prices in a stochastic production economy ⋮ THE POLITICAL ECONOMY OF ENVIRONMENTAL POLICY WITH OVERLAPPING GENERATIONS ⋮ Intrinsic bubbles and asset price volatility ⋮ Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship ⋮ Price volatility and risk with non-separability of preferences ⋮ Simulation estimation of time-series models ⋮ Existence and optimality of currency equilibrium in stochastic overlapping generations models: The pure endowment case ⋮ Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors

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