Overview
A. Jobert is affiliated with the Statistical Laboratory, University of Cambridge. Co-author of the 2006 working paper resolving the equity premium puzzle via Bayesian parameter uncertainty about dividend growth.
Key Contributions / Features
- Jobert, Platania, and Rogers (2006): showed that treating dividend-growth parameters (μ,τ) as unknown and averaging over a Gamma-Gaussian posterior resolves the Mehra-Prescott equity premium puzzle at plausible risk aversion R∈(1,2).
- Derived equilibrium stock and bond price formulas as one-dimensional integrals over the conjugate posterior, including a convergence-ensuring prefactor to handle CRRA divergence (Geweke 2001).
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