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The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model (1604.03337v2)
Published 12 Apr 2016 in q-fin.CP and q-fin.GN
Abstract: By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.