英文标题：
《Asset Prices and Risk Aversion》
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作者：
Dominique Pepin (CRIEF)
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最新提交年份：
2014
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英文摘要：
  The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent\'s risk aversion increases. If the income effect, which implies enhanced saving as a result of an increase in risk aversion, dominates the substitution effect, which causes the representative agent to reallocate his portfolio in favour of riskless assets, the demand for securities increases. Thus, asset prices are forced to rise when the representative agent is more risk adverse. By disentangling risk aversion and intertemporal substituability, we demonstrate that the risky asset price is an increasing function of the coefficient of risk aversion only if the elasticity of intertemporal substitution (EIS) exceeds unity. This result, which was first proved par Epstein (1988) in a stationary economy setting with a constant risk aversion, is shown to hold true for non-stationary economies with a variable or constant risk aversion coefficient. The conclusion is that the EIS probably exceeds unity.
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中文摘要：
标准资产定价模型（CCAPM和Epstein Zin非预期效用模型）反直觉地预测，如果代表代理人的风险规避增加，均衡资产价格可能会上升。如果收入效应（这意味着由于风险厌恶的增加而增加储蓄）主导替代效应，导致代表代理人将其投资组合重新配置为无风险资产，那么对证券的需求就会增加。因此，当代表代理人的风险更为不利时，资产价格就会被迫上涨。通过对风险厌恶和跨期替代性的分离，我们证明了只有当跨期替代弹性超过1时，风险资产价格才是风险厌恶系数的递增函数。par Epstein（1988）在具有恒定风险厌恶的平稳经济环境中首次证明了这一结果，该结果对于具有可变或恒定风险厌恶系数的非平稳经济体也适用。结论是，EIS可能超过了统一。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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