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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Heaton, John; Lucas, Deborah - 2021
agents in the model are not very risk averse, the model predicts a sizable equity premium and a low riskfree rate. By …
Persistent link: https://www.econbiz.de/10013247655
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Displacement risk and asset returns
Garleanu, Nicolae; Kogan, Leonid; Panageas, Stauros - In: Journal of financial economics 105 (2012) 3, pp. 511-522
Persistent link: https://www.econbiz.de/10009666812
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Price bounds of mortality-linked security in incomplete insurance market
Huang, Yu-lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 30-39
Persistent link: https://www.econbiz.de/10010366219
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Taylor approximation of incomplete Radner equilibrium models
Choi, Jin Hyuk; Larsen, Kasper - In: Finance and stochastics 19 (2015) 3, pp. 653-679
Persistent link: https://www.econbiz.de/10011418332
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A class of tractable incomplete-market models for studying asset returns and risk exposure
Le Grand, François; Ragot, Xavier - In: European economic review : EER 103 (2018), pp. 39-59
Persistent link: https://www.econbiz.de/10011975670
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Studying the implications of consumption and asset return data for stochastic discount factors in incomplete international economies
Bakshi, Gurdip S.; Cerrato, Mario; Crosby, John - 2017
Persistent link: https://www.econbiz.de/10011583440
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Equilibrium in securities markets with heterogeneous investors and unspanned income risk
Christensen, Peter Ove; Munk, Claus - In: Journal of economic theory 147 (2012) 3, pp. 1035-1063
Persistent link: https://www.econbiz.de/10009626734
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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Heaton, John - 1993
agents in the model are not very risk averse, the model predicts a sizable equity premium and a low riskfree rate. By …
Persistent link: https://www.econbiz.de/10012474713
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Uninsurable risk and the determination of real interest rates : an investigation using UK indexed bonds
Barr, David G.; Basu, Parantap; Wada, Kenji - 2012
Persistent link: https://www.econbiz.de/10010465991
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …
Persistent link: https://www.econbiz.de/10011300314