Consider a representative agent economy as in Sect. 5.1. Show that the risk premium on the market
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Consider a representative agent economy as in Sect. 5.1. Show that the risk premium on the market portfolio is increasing with respect to the absolute risk aversion coefficient of the representative agent and, if the representative agent's utility function is DARA, then it is decreasing with respect to the economy's aggregate wealth.
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Related Book For
Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
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