英文标题：
《The subjective discount factor and the coefficient of relative risk
aversion under time-additive isoelastic expected utility model》
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作者：
Dominique Pepin (CRIEF)
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最新提交年份：
2016
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英文摘要：
By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.
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中文摘要：
通过分析确保资本市场均衡存在的限制条件，我们表明，相对风险规避系数和主观贴现因子不能同时很高，因为它们应该使标准资产定价与金融风格化事实一致。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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