Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.

DOI10.1016/S0165-1889(01)00078-1zbMATH Open1033.91023OpenAlexW2027960363MaRDI QIDQ1605201FDOQ1605201

Authors: Gregory C. Chow, Lihui Zheng 

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00078-1

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zbMATH Keywords

Robust controlLagrange methodAsset pricingConsumption sensitivityOptimum consumption and investment

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Cites Work

• Title not available (Why is that?)
• Robust Permanent Income and Pricing
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle

Cited In (9)

• Consumption-based asset pricing with prospect theory and habit formation
• Robust Permanent Income and Pricing
• The role of household debt and delinquency decisions in consumption-based asset pricing
• A new methodology for studying the equity premium
• The equity premium in consumption and production models
• THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING
• A resolution of the equity premium puzzle
• The equity premium: a deeper puzzle
• Capital risk and consumption puzzles: A pedagogical note

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