Is the market price of risk infinite?

DOI10.1016/J.ECONLET.2008.10.002MaRDI QIDQ1038085zbMATH OpenOpenAlexFDO

Authors Timothy Cogley

Publication date 17 November 2009

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2008.10.002

zbMATH Keywords

learningwedgesmarket price of riskHansen-Jagannathan bound

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3339023 (Why is no real title available?)
• A note on some limitations of CRRA utility
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(1)

• On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

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