On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis

DOI10.1016/S0165-1889(98)00049-9zbMATH Open0921.90030WikidataQ126803714 ScholiaQ126803714MaRDI QIDQ1292271FDOQ1292271

Suleyman Basak

Publication date: 21 June 1999

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

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zbMATH Keywords

human capitalgeneral equilibrium continuous-time model

Mathematics Subject Classification ID

General equilibrium theory (91B50) Economic growth models (91B62)

Cites Work

• An Intertemporal Capital Asset Pricing Model
• Martingales and arbitrage in multiperiod securities markets
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Asset Prices in an Exchange Economy
• An Intertemporal General Equilibrium Model of Asset Prices
• Time to Build and Aggregate Fluctuations
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model
• Recursive Competitive Equilibrium: The Case of Homogeneous Households
• A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Hedging in incomplete markets with HARA utility
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• The Consumption-Based Capital Asset Pricing Model
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis

Cited In (9)

• Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
• Lifetime consumption and investment: retirement and constrained borrowing
• Equilibrium consumption and precautionary savings in a stochastically growing economy
• Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
• Dynamic asset pricing with non-redundant forwards
• Inflation, variability, and the evolution of human capital in a model with transactions costs
• WELFARE GAINS FROM STABILIZATION IN A STOCHASTICALLY GROWING ECONOMY WITH IDIOSYNCRATIC SHOCKS AND FLEXIBLE LABOR SUPPLY
• Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY

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