Equilibrium in securities markets with heterogeneous investors and unspanned income risk
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Publication:417617
DOI10.1016/j.jet.2012.01.007zbMath1258.91135MaRDI QIDQ417617
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
Brownian motion; incomplete markets; equity premium; continuous-time equilibrium; heterogeneous preferences; risk-free rate puzzle; unspanned income