Idiosyncratic risk and the equity premium
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Publication:6596161
DOI10.1016/J.JMATECO.2024.103014zbMATH Open1544.91302MaRDI QIDQ6596161FDOQ6596161
Authors: Andrés Carvajal, Hang Zhou 
Publication date: 2 September 2024
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
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Cites Work
- A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
- Rare disasters and asset markets in the twentieth century
- When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
- Equilibrium asset prices with undiversifiable labor income risk
- TESTING THE CONSUMPTION CAPM WITH HEAVY-TAILED PRICING ERRORS
- Consumption-based asset pricing with higher cumulants
- Risk-aversion, prudence and temperance
- New results for additive and multiplicative risk apportionment
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