Equilibrium asset prices with undiversifiable labor income risk

DOI10.1016/0165-1889(92)90057-LzbMath0825.90162MaRDI QIDQ1200326

Philippe Weil

Publication date: 16 January 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (23)

Asset pricing with jump/diffusion permanent income shocks ⋮ WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE ⋮ When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? ⋮ Incomplete-market dynamics in a neoclassical production economy ⋮ Financial innovation, precautionary saving and the risk-free rate ⋮ Savings and default ⋮ A simple model of incomplete insurance The case of permanent shocks ⋮ Preserving preference rankings under background risk ⋮ Precautionary portfolio behavior from a life-cycle perspective ⋮ A note on an interpretation to consumption-based CAPM ⋮ Incomplete markets, liquidation risk, and the term structure of interest rates ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ When can expected utility handle first-order risk aversion? ⋮ A computational study on general equilibrium pricing of derivative securities ⋮ Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands ⋮ Incomplete markets and volatility ⋮ A test of risk vulnerability in the wider population ⋮ Complete monotonicity, background risk, and risk aversion ⋮ The interaction between the equity premium and the risk-free rate ⋮ The importance of the number of different agents in a heterogeneous asset-pricing model ⋮ Monetary transaction costs and the term premium ⋮ The economics of adding and subdividing independent risks: Some comparative statics results ⋮ Collateral and the efficiency of monetary policy

Cites Work

• An Intertemporal General Equilibrium Model of Asset Prices
• Proper Risk Aversion
• Risk Aversion with Random Initial Wealth
• Asset Prices in an Exchange Economy
• Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations
• Standard Risk Aversion
• Risk Aversion in the Small and in the Large

This page was built for publication: Equilibrium asset prices with undiversifiable labor income risk