The Effect of Regression Dependent Background Risk on Asset Prices

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  • 回帰依存バックグラウンドリスクが資産価格に与える影響
  • カイキ イソン バックグラウンドリスク ガ シサン カカク ニ アタエル エイキョウ

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This paper considers a static existing asset market with dependent background risk, which is described as regression dependence. We examine a condition of preferences to determine that a dependent background risk decreases equilibrium asset prices. In such a condition, absolute risk aversion decreases and relative risk aversion is less than unity.


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