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- W3123456268 abstract "We propose a model that addresses two fundamental challenges concerning the timing and pricing of uncertainty: established equilibrium asset pricing models require a controversial degree of preference for early resolution of uncertainty and do not generate the downward-sloping term structure of risk premia suggested by the data. Inspired by experimental evidence, we construct dynamically inconsistent preferences in which risk aversion decreases with the temporal horizon. The resulting pricing model can generate a term structure of risk premia consistent with empirical evidence, without forcing a particular preference for resolution of uncertainty or compromising the ability to match standard moments." @default.
- W3123456268 created "2021-02-01" @default.
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- W3123456268 date "2014-01-01" @default.
- W3123456268 modified "2023-09-26" @default.
- W3123456268 title "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty" @default.
- W3123456268 hasPublicationYear "2014" @default.
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