In an intertemporal setting we model the anticipation-disappointment effect through a habit formation process which is a function of past consumption and of past expected utility. We show that in equilibrium the anticipation effect reduces the risk premium, whereas the disappointment effect induces a higher risk premium. (C) 2001 Elsevier Science BN. All rights reserved.
Asset pricing with a forward-backward stochastic differential utility
ANTONELLI, FABIO;
2001-01-01
Abstract
In an intertemporal setting we model the anticipation-disappointment effect through a habit formation process which is a function of past consumption and of past expected utility. We show that in equilibrium the anticipation effect reduces the risk premium, whereas the disappointment effect induces a higher risk premium. (C) 2001 Elsevier Science BN. All rights reserved.File in questo prodotto:
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