English, Article edition: A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM JUN SEKINE

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM
Author
  • JUN SEKINE
Physical Description
  • article
Notes
  • Results in HeâLeland (1993) are extended and properties of the risk-premium process in an equilibrium are examined in a pure exchange economy with a representative agent: for example, (i) the risk-premium process is characterized by using a martingale representation of the reciprocal of a terminal marginal utility, (ii) it is expressed as a (conditional) expected value including the relative risk aversion coefficient of a terminal utility and the Jacobian matrix process of the state variables, and, (iii) a "mean-reverting" property relates to the monotonic decreasing property of the relative risk aversion coefficient.
  • Equilibrium, asset price process, risk-premium, volatility, relative risk aversion coefficient
  • RePEc:wsi:ijtafx:v:11:y:2008:i:07:p:705-716
Language
  • English
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