Representative consumer's risk aversion and efficient risk-sharing rules
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Publication:2469863
DOI10.1016/J.JET.2006.11.002zbMath1132.91490OpenAlexW3124041510MaRDI QIDQ2469863
Christoph Kuzmics, Chiaki Hara, James Huang
Publication date: 11 February 2008
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/14542/pie_dp323.pdf
Related Items (16)
Standard risk aversion and efficient risk sharing ⋮ How suboptimal are linear sharing rules? ⋮ On the nature of certainty equivalent functionals ⋮ Heterogeneous impatience in a continuous-time model ⋮ On the concavity of consumption function under habit formation ⋮ Effects of background risks on cautiousness with an application to a portfolio choice problem ⋮ Optimal collective investment: an analysis of individual welfare ⋮ Risk-sharing and crises. Global games of regime change with endogenous wealth ⋮ Wealth distribution and output fluctuations ⋮ Collective risk aversion ⋮ Representative consumer's risk aversion and efficient risk-sharing rules ⋮ A numerical approach for a class of risk-sharing problems ⋮ Nonmyopic optimal portfolios in viable markets ⋮ GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES ⋮ Non-parametric counterfactual analysis in dynamic general equilibrium ⋮ Borch's theorem, equal margins, and efficient allocation
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- Impact of divergent consumer confidence on option prices
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- Representative consumer's risk aversion and efficient risk-sharing rules
- Wealth Inequality and Asset Pricing
- When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
- Equilibrium in a Reinsurance Market
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