August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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276 Forecasting Expected Returns in the Financial Markets
13.4 Exponential utility, loss aversion and mixed equilibria
We next consider the case of exponential utility – that is, utility functions with constant
absolute risk aversion. In this case, an equilibrium based on different risk aversions is well
understood (see, for instance, Rubinstein, 1974), and so there is no gain by considering
a binomial economy. However, we could consider the case where some agents ...
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