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Asset pricing Risk sharing 1
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Krueger, Dirk 1 Lustig, Hanno 1
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Journal of Economic Theory 1
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When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
Krueger, Dirk; Lustig, Hanno - In: Journal of Economic Theory 145 (2010) 1, pp. 1-41
In a standard incomplete markets model with a continuum of households that have constant relative risk aversion (CRRA) preferences, the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk if the distribution of idiosyncratic risk is...
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