Virginia Tech
    • Log in
    View Item 
    •   VTechWorks Home
    • VTechWorks Archives
    • VTechWorks Administration
    • All Faculty Deposits
    • View Item
    •   VTechWorks Home
    • VTechWorks Archives
    • VTechWorks Administration
    • All Faculty Deposits
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Asset Prices under Random Risk Preferences

    Thumbnail
    View/Open
    Submitted Version (293.1Kb)
    Downloads: 104
    Date
    Author
    Tsang, Kwok Ping
    Tserenjigmid, Gerelt
    Metadata
    Show full item record
    Abstract
    We consider an overlapping-generations model with two types of investors: the stable investors have constant risk aversion, but the unstable investors have random levels of risk aversion across different generations. Investors are not sure about how risk averse future investors are. We show that i) a small amount of randomness in the risk aversion or ii) a small population of the unstable investors generates a large deviation from fundamental price and a high price volatility.
    URI
    http://hdl.handle.net/10919/75148
    Collections
    • All Faculty Deposits [2263]
    • Scholarly Works, Department of Economics [44]

    If you believe that any material in VTechWorks should be removed, please see our policy and procedure for Requesting that Material be Amended or Removed. All takedown requests will be promptly acknowledged and investigated.

    Virginia Tech | University Libraries | Contact Us
     

     

    VTechWorks

    AboutPoliciesHelp

    Browse

    All of VTechWorksCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Log inRegister

    Statistics

    View Usage Statistics

    If you believe that any material in VTechWorks should be removed, please see our policy and procedure for Requesting that Material be Amended or Removed. All takedown requests will be promptly acknowledged and investigated.

    Virginia Tech | University Libraries | Contact Us