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Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
Ralph S.J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan
American Economic Review. May 2010, Vol. 100, No. 2: Pages 552-556

Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk

Ralph S.J. Koijen, 1

1The University of Chicago Booth School of Business, 5807 South Woodlawn Avenue, Chicago, IL 60637.

Hanno Lustig, 2

2Anderson School of Management, University of California at Los Angeles, Box 951477, Los Angeles, CA 90095.

Stijn Van Nieuwerburgh, 3

3Department of Finance, Stern School of Business, New York University, 44 W. 4th Street, New York, NY 10012.

Adrien Verdelhan4

4Department of Finance, MIT Sloan School of Management, and Bank of France, E52–436, 50 Memorial Drive, Cambridge, MA 02142.

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