原创力文档1990_First-order risk aversion and the equity premium puzzle_Larry G.Epstein and Stanley E. Zin.pdfVIP
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1990_First-order risk aversion and the equity premium puzzle_Larry G.Epstein and Stanley E. Zin
Journal of Monetary Economics 26 (1990) 387-407. North-Holland
‘First-order’ risk aversion and
the equity premium puzzle*
Larry G. Epstein
Unwerslty of Toronto, Toronto, Ont. M5S IAI, Canada
Stanley E. Zin
Carnep Mellon Umlws~ty. Ptttshurgh, PA 15213, USA
Recerved September 1989, final versron received June 1990
This paper Integrates Yaari’s dual theory of choice under uncertamty into a multiperiod context
and examines its imphcations for the equity premium puzzle. An Important property of these
preferences IS that of ‘tirst-order risk aversion’ which implies. in our model. that the
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