When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
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Cites work
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Asset Prices in an Exchange Economy
- Competitive equilibria of economies with a continuum of consumers and aggregate shocks
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- EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
- Equilibrium asset prices with undiversifiable labor income risk
- scientific article; zbMATH DE number 4051296 (Why is no real title available?)
- INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
- Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
- RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
- The importance of the number of different agents in a heterogeneous asset-pricing model
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
Cited in
(23)- A simple model of incomplete insurance The case of permanent shocks
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- Returns-to-scale and the equity premium puzzle
- The role of household debt and delinquency decisions in consumption-based asset pricing
- Business cycle fluctuations in Mirrlees economies: the case of i.i.d. shocks
- Incomplete markets, liquidation risk, and the term structure of interest rates
- Money, financial stability and efficiency
- Price impact in Nash equilibria
- Incomplete markets and derivative assets
- On increasing risk in incomplete markets
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- scientific article; zbMATH DE number 1552543 (Why is no real title available?)
- Incomplete market dynamics and cross-sectional distributions
- When can expected utility handle first-order risk aversion?
- Does Market Incompleteness Matter?
- Asset prices in a Huggett economy
- Self-insurance vs. self-financing: a welfare analysis of the persistence of shocks
- Belief aggregation for representative agent models
- Idiosyncratic risk and financial policy
- Idiosyncratic risk and the equity premium
- Income disaster model with optimal consumption
- Endogenous market incompleteness with investment risks
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