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First order risk aversion and the equity premium puzzle

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  • L. Epstein
  • S. Zin

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Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 1400.

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Date of creation: 09 Dec 2010
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Handle: RePEc:cla:levarc:1400

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  1. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
  2. Uzi Segal & Avia Spivak, 1988. "First Order Versus Second Order Risk Aversion," UCLA Economics Working Papers 540, UCLA Department of Economics.
  3. Segal, Uzi, 1987. "The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 175-202, February.
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