Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
From MaRDI portal
Publication:433373
DOI10.1016/j.jedc.2011.11.006zbMath1247.91067MaRDI QIDQ433373
Publication date: 13 July 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.11.006
equity premium; portfolio choice; Choquet expected utility; fat tails; asset prizing puzzle; risk free rate
91B16: Utility theory
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