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Pepin Dominique
''The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model''
( 2016, Vol. 36 No.2 )
By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.
Keywords: subjective discount factor, risk aversion, asset prices, equilibrium, risk premium
D8 - Information, Knowledge, and Uncertainty: General
Manuscript Received : May 23 2016 Manuscript Accepted : Jun 11 2016

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