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Jensen’s Inequality in Finance

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  • Samih Azar

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    File URL: http://hdl.handle.net/10.1007/s11294-008-9172-9
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    Bibliographic Info

    Article provided by Springer in its journal International Advances in Economic Research.

    Volume (Year): 14 (2008)
    Issue (Month): 4 (November)
    Pages: 433-440

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    Handle: RePEc:kap:iaecre:v:14:y:2008:i:4:p:433-440

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    Web page: http://www.springerlink.com/link.asp?id=112112

    Related research

    Keywords: Jensen’s inequality; Concave and convex functions; Foreign exchange markets; Expected utility; Simulation of random normal variables; Equity risk premium; Power functions; CCAPM; D81; E44; F31; C15;

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    1. Santos Silva, Joao & Tenreyro, Silvana, 2005. "The Log of Gravity," CEPR Discussion Papers 5311, C.E.P.R. Discussion Papers.
    2. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    3. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
    4. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
    5. Eugene Fama & F. & Kenneth R. French, . "The Equity Premium."," CRSP working papers 522, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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