Bossaerts, Peter L. (contributor); … - 2005
Lucas asset pricing model, asset volume
In a recent paper, Judd, Kubler & Schmedders (2003) (hereafter JKS)
study asset … heterogeneous version of the Lucas asset-pricing model, JKS
show that if asset dividends and individual endowments are stationary …,”
Econometrica 53 (1985), 1337-1356.
J. Darrell Duffie and William R. Zame, “The Consumption-based
Capital Asset Pricing Model …