Generalized Disappointment Aversion, Learning, and Asset Prices
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More about this item
Keywords
equity premium; variance and skew risk premia; volatility skew; generalized disappointment aversion; learning; Markov switching;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2017-11-26 (Macroeconomics)
- NEP-RMG-2017-11-26 (Risk Management)
- NEP-UPT-2017-11-26 (Utility Models and Prospect Theory)
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