Idiosyncratic risk and financial policy

DOI10.1016/J.JET.2011.03.012MaRDI QIDQ634526zbMATHOpenAlexFDO

Authors Andrés Carvajal, Herakles M. Polemarchakis

Publication date 16 August 2011

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

Full work available at URL http://wrap.warwick.ac.uk/38600/1/WRAP_Carvajal_idi_%282%29.pdf

zbMATH Keywords

constrained suboptimalityuninsurable idiosyncratic risks

Mathematics Subject Classification ID

Portfolio theory (91G10) Special types of economic markets (including Cournot, Bertrand) (91B54)

Recommendations

• Idiosyncratic Risk, Borrowing Constraints and Asset Prices
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
• Endogenous market incompleteness with investment risks
• scientific article; zbMATH DE number 1552543
• Overlapping generations and idiosyncratic risk: Can prices reveal the best policy?

Cites work

• scientific article; zbMATH DE number 3562121 (Why is no real title available?)
• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 2120699 (Why is no real title available?)
• scientific article; zbMATH DE number 3221041 (Why is no real title available?)
• Constrained suboptimality in incomplete markets: A general approach and two applications
• Identification of Individual Demands from Market Data under Uncertainty
• Identification of Pareto-improving policies: Information as the real invisible hand
• Markets for an Exchange Economy with Individual Risks
• The Inefficiency of the Stock Market Equilibrium
• The identification of preferences from equilibrium prices under uncertainty
• The taxation of trades in assets

Cited in

(12)

• Production, bankruptcy, and financial policies under collateral constraints
• Uninsured idiosyncratic production risk with borrowing constraints
• IDIOSYNCRATIC AND AGGREGATE RISKS, INEQUALITY AND GROWTH
• IDIOSYNCRATIC SHOCKS AND ASSET RETURNS IN THE REAL-BUSINESS-CYCLE MODEL: AN APPROXIMATE ANALYTICAL APPROACH
• Debt and welfare in economies with land
• Taxing capital is a good idea: the role of idiosyncratic risk in an OLG model
• Idiosyncratic risk and the equity premium
• Idiosyncratic Risk, Borrowing Constraints and Asset Prices
• Is idiosyncratic risk conditionally priced?
• Asset pricing with endogenously uninsurable tail risk
• Risk externalities: when financial imperfections are not the problem, but part of the solution
• Segmentation and beliefs: a theory of self-fulfilling idiosyncratic risk

This page was built for publication: Idiosyncratic risk and financial policy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634526)