The equity risk premium and the riskfree rate in an economy with borrowing constraints
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Publication:2459034
DOI10.1007/S11579-007-0001-3zbMath1173.91388OpenAlexW2046938569MaRDI QIDQ2459034
Raman Uppal, Leonid Kogan, I. M. Makarov
Publication date: 5 November 2007
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.308.432
Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)
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Existence of an equilibrium with limited participation ⋮ Optimal investment, stochastic labor income and retirement
Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Convex duality in constrained portfolio optimization
- EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
- Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
- Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
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