Continuous trading in an exchange economy under discontinuous dynamics: A resolution of the equity premium puzzle
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- Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K., 2004. "Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles," Discussion Papers 2004/12, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Norwegian School of Economics, Department of Business and Management Science.
- Jose S. Penalva Zuasti, 2001.
"Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 790-822, October.
- José Penalva, 2000. "Full insurance, asymmetric information and genetic testing," Economics Working Papers 461, Department of Economics and Business, Universitat Pompeu Fabra.
- Aase, Knut K. & Lillestøl, Jostein, 2015. "Beyond the local mean-variance analysis in continuous time: The problem of non-normality," Discussion Papers 2015/11, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
More about this item
KeywordsRisk premiums asset pricing random point processes economic equilibrium stochastic calculus the exponential formula jumps in consumption jumps in equity prices the equity premium puzzle;
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