Disentangling risk aversion and intertemporal substitution through a reference level

Finance Research Letters

Volumn 3, Issue 3, 2006, Pages 181-193

  Garcia, René ^a   Renault, Éric ^b   Semenov, Andrei ^c  

^a CIRANO   (Canada)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

^c YORK UNIVERSITY   (Canada)

Author keywords

Elasticity of intertemporal substitution; Equity premium; Habit formation; Non expected utility; Reference level; Relative risk aversion; Resolution of uncertainty

Indexed keywords

EID: 33747815035     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2006.03.008     Document Type: Article

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