Ambiguity, Long-run risk, and asset prices - Dare, Wale
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We study the U.S. equity market via a representative agent model with ambiguity averse preference over consumption and leisure. Labor income dynamics are explicitly modeled with a persistent time varying component which is shared in common with the dividend process. This framework is shown to generate enough equity risk premia to match the level in historical data, without making unreasonably high assumptions about the agent's risk aversion.

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Produktbeschreibung
We study the U.S. equity market via a representative agent model with ambiguity averse preference over consumption and leisure. Labor income dynamics are explicitly modeled with a persistent time varying component which is shared in common with the dividend process. This framework is shown to generate enough equity risk premia to match the level in historical data, without making unreasonably high assumptions about the agent's risk aversion.
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Autorenporträt
Wale Dare is a PhD candidate at the University of St. Gallen. Prior to his graduate studies, he had assumed roles of increasing responsibilities in the US insurance industry, notably, he had served as actuarial analyst in the Boston offices of Liberty Mutual and as actuarial associate in the Denver offices of ING.