When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
From MaRDI portal
Publication:848604
DOI10.1016/j.jet.2009.10.005zbMath1202.91127OpenAlexW3122834601MaRDI QIDQ848604
Publication date: 4 March 2010
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w12634.pdf
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (12)
Incomplete markets and derivative assets ⋮ Belief aggregation for representative agent models ⋮ Equilibrium in securities markets with heterogeneous investors and unspanned income risk ⋮ Incomplete markets, liquidation risk, and the term structure of interest rates ⋮ Money, financial stability and efficiency ⋮ Price impact in Nash equilibria ⋮ Incomplete market dynamics and cross-sectional distributions ⋮ When can expected utility handle first-order risk aversion? ⋮ Business cycle fluctuations in Mirrlees economies: the case of i.i.d. shocks ⋮ Returns-to-scale and the equity premium puzzle ⋮ The role of household debt and delinquency decisions in consumption-based asset pricing ⋮ Asset prices in a Huggett economy
Cites Work
- Unnamed Item
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Equilibrium asset prices with undiversifiable labor income risk
- Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
- The importance of the number of different agents in a heterogeneous asset-pricing model
- Competitive equilibria of economies with a continuum of consumers and aggregate shocks
- Asset Prices in an Exchange Economy
- INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
- EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
- RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Does Market Incompleteness Matter?
This page was built for publication: When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
