Asset pricing puzzles in an OLG economy with generalized preference
在世代交叠模型中引入借贷约束和广义偏好，同时解释了股权溢价、无风险利率和投资组合配置三大谜题，并匹配了资产定价矩与个人投资决策。
Abstract We seek to explain a number of asset pricing anomalies – the equity premium puzzle, the risk‐free rate puzzle, and portfolio allocation puzzle – in a parsimonious overlapping generations (OLG) model with two key features: borrowing constraint and Epstein–Zin–Weil (1989) preference. The model goes a long way towards the resolution of these puzzles, and is able to simultaneously match asset pricing moments and individual portfolio decisions using reasonable values of parameters governing behavior. We find that the main driver of savings behavior, equity returns, and asset allocation is the relative difference between the two parameters: the level of relative risk aversion and the inverse of the elasticity of substitution.