Preferences with taste shock representations: price volatility and the liquidity premium

DOI10.1016/J.MATHSOCSCI.2019.06.004MaRDI QIDQ2334830zbMATH OpenOpenAlexWikidataFDO

Authors R. Vijay Krishna, Philipp Sadowski

Publication date 8 November 2019

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10161/13246

zbMATH Keywords

preferencesprice volatilitytaste shocks

Mathematics Subject Classification ID

Individual preferences (91B08) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Price volatility and risk with non-separability of preferences
• Interpreting volatility shocks as preference shocks
• Liquidity shocks and equilibrium liquidity premia.
• Endogenous liquidity and volatility
• HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

Cites work

• Asset Prices in an Exchange Economy
• Dynamic Preference for Flexibility
• General Competitive Analysis in an Economy with Private Information
• Pareto Optima and Competitive Equilibria with Adverse Selection and Moral Hazard
• Self-Control and the Theory of Consumption

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