Asset pricing with a forward-backward stochastic differential utility

Authors
Antonelli, F Barucci, E Mancino, ME
Citation
F. Antonelli et al., Asset pricing with a forward-backward stochastic differential utility, ECON LETT, 72(2), 2001, pp. 151-157
Citations number
11
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
72
Issue
2
Year of publication
2001
Pages
151 - 157
Database
ISI
SICI code
0165-1765(200108)72:2<151:APWAFS>2.0.ZU;2-O
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.