When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

DOI10.1016/j.jet.2009.10.005zbMath1202.91127OpenAlexW3122834601MaRDI QIDQ848604

Dirk Krueger, Hanno Lustig

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

zbMATH Keywords

asset pricingrisk sharing

Mathematics Subject Classification ID

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

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• Does Market Incompleteness Matter?

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