Abstract

Resorting to the general equilibrium model based on the fanning preference, this book obtains the market risk premium, jump risk premium, variance risk premium, and covariance risk premium in equilibrium. In particular, all these risk premiums are controlled by both the risk aversion and the fanning effect.

Copyright information

© Xiamen University Press and Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.Department of Finance, School of EconomicsXiamen UniversityXiamenChina

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