Equilibrium in securities markets with heterogeneous investors and unspanned income risk

DOI10.1016/J.JET.2012.01.007zbMath1258.91135OpenAlexW3123594964MaRDI QIDQ417617

J. Herrera, H. S. Yoon

Publication date: 14 May 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Equilibrium_in_securities_markets_with_heterogeneous_investors_and_unspanned_income_risk/6477332

zbMATH Keywords

Brownian motionincomplete marketsequity premiumcontinuous-time equilibriumheterogeneous preferencesrisk-free rate puzzleunspanned income

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Financial applications of other theories (91G80)

Related Items (11)

Radner equilibrium in incomplete Lévy models ⋮ A Feedback Model for the Financialization of Commodity Markets ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment ⋮ Price impact in Nash equilibria ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Annuitization and asset allocation under exponential utility ⋮ Model selection in utility-maximizing binary prediction ⋮ Taylor approximation of incomplete Radner equilibrium models ⋮ An incomplete equilibrium with a stochastic annuity ⋮ Radner equilibrium and systems of quadratic BSDEs with discontinuous generators

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