Showing 1 - 9 of 9
-wise stability and Core. We first establish that the Set-wise stable set is contained in the Core and it contains the non-empty set … competitive equilibrium payoffs. Third, for any number of replicas there is a market with a Core payoff that is not a competitive …
Persistent link: https://www.econbiz.de/10008592874
of preference profiles into subsets with the property that all preference profiles in the same subset have the same Core … generate as strict extensions all the (complete) preference profiles with the same Core. This is important for applications … since it reduces the amount of information that agents have to reveal about their preference relations to centralized Core …
Persistent link: https://www.econbiz.de/10008498408
assignment game. We consider the Core, three other notions of group stability and two al- ternative definitions of competitive … equilibrium. We show that (i) each group stable set is closely related with the Core of certain games defined using a proper …
Persistent link: https://www.econbiz.de/10010836477
We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is...
Persistent link: https://www.econbiz.de/10012470360
This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...
Persistent link: https://www.econbiz.de/10012471034
We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known....
Persistent link: https://www.econbiz.de/10012471931
We provide an axiomatic model of preferences over atemporal risks that generalizes Gul (1991) A Theory of Disappointment Aversion' by allowing risk aversion to be first order' at locations in the state space that do not correspond to certainty. Since the lotteries being valued by an agent in an...
Persistent link: https://www.econbiz.de/10012468587
We consider the consumption and portfolio choice problem of a long-run investor when the term structure is affine and when the investor has access to nominal bonds and a stock portfolio. In the presence of unhedgeable inflation risk, there exist multiple pricing kernels that produce the same...
Persistent link: https://www.econbiz.de/10012468608
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...
Persistent link: https://www.econbiz.de/10012461097