Equilibrium Asset Pricing with Time-Varying Pessimism

A. Sbuelz, F. Trojani

Research output: Working paperDiscussion paperOther research output

577 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages44
Volume2002-102
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-102

Keywords

  • capital asset pricing
  • general equilibrium
  • uncertainty
  • financial risk
  • model misspecification
  • Knightian uncertainty
  • first order risk aversion

Cite this

Sbuelz, A., & Trojani, F. (2002). Equilibrium Asset Pricing with Time-Varying Pessimism. (CentER Discussion Paper; Vol. 2002-102). Finance.