Abstract
Results in He–Leland (1993) are extended and properties of the risk-premium process in an equilibrium are examined in a pure exchange economy with a representative agent: for example, (i) the risk-premium process is characterized by using a martingale representation of the reciprocal of a terminal marginal utility, (ii) it is expressed as a (conditional) expected value including the relative risk aversion coefficient of a terminal utility and the Jacobian matrix process of the state variables, and, (iii) a "mean-reverting" property relates to the monotonic decreasing property of the relative risk aversion coefficient.
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