## Belief-dependent Utilities, Aversion to State-uncertainty and Asset Prices |

### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Common terms and phrases

agents approximation asset prices assume assumption aversion to state-uncertainty Axiom belief belief-dependent utility functions Campbell and Cochrane conditional price-dividend ratios conditional probability constant consumption data consumption growth Corollary defined denote dependent utility function dispersion displays aversion drift rate e.g. Campbell E\dR Economics eigenvalues elasticity of intertemporal equity premium expected returns formulas given habit formation model Hence high equity implies inequality interest rate intertemporal substitution investors Ito's lemma Kalman filter Kitagawa Knightian uncertainty long-run risk lotteries marginal utility matrix mean P/D Mean Square Error obtain Ornstein-Uhlenbeck process Panel paper parameters posterior distribution Prediction Error preferences probability distribution Proof of Proposition pure jump model pure jump process rate of consumption real consumption relative risk aversion return volatility risk premium risk-free rate RMSE Root Mean Square stochastic stochastic volatility stock prices stock returns structural breaks Theorem time-varying uncertainty utility of consumption vector Veronesi Wiener process yields