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

DOI10.1016/S0165-1889(01)00078-1MaRDI QIDQ1605201zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Robust controlLagrange methodAsset pricingConsumption sensitivityOptimum consumption and investment

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Robust Permanent Income and Pricing

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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