Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/336599 
Autor:innen: 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Discussion Paper No. 549
Verlag: 
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition, München und Berlin
Zusammenfassung: 
This paper integrates tail aversion, implemented via a one-period entropic tilt, with rare disasters in a consumption-based asset pricing model with CRRA utility to jointly address the equity premium and risk-free rate puzzles. The model delivers closed-form expressions for the risk-free rate and asset moments, pushes out the Hansen-Jagannathan bound, implies a low risk-free rate via diffusion and disaster channels, and delivers natural upper and lower bounds of risk aversion. Calibrated to long-run return data and disciplined by disaster evidence, the model matches average returns, volatility, and a low real risk-free rate with very modest risk aversion.
Schlagwörter: 
equity premium puzzle
risk-free rate puzzle
rare disasters
entropic tilt
multiplier (KL) preferences
robust control
consumption-based asset pricing
JEL: 
G12
E44
E43
E21
D81
Dokumentart: 
Working Paper

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