全球智库信息集成服务系统(G2TT): Pricing Long-Lived Securities in Dynamic Endowment Economies

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24641
来源ID	Working Paper 24641
	Pricing Long-Lived Securities in Dynamic Endowment Economies
	Jerry Tsai; Jessica A. Wachter
发表日期	2018-05-28
出版年	2018
语种	英语
摘要	We solve for asset prices in a general affine representative-agent economy with isoelastic recursive utility and rare events. Our novel solution method is exact in two special cases: no preference for early resolution of uncertainty and elasticity of intertemporal substitution equal to one. Our results clarify model properties governed by the elasticity of intertemporal substitution, by risk aversion, and by the preference for early resolution of uncertainty. Finally, we show in a general setting that the linear relation between normal-times covariances and expected returns need not hold in a model with rare events.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w24641
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/582315
推荐引用方式 GB/T 7714	Jerry Tsai,Jessica A. Wachter. Pricing Long-Lived Securities in Dynamic Endowment Economies. 2018.