When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
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Publication:848604
DOI10.1016/J.JET.2009.10.005zbMATH Open1202.91127OpenAlexW3122834601MaRDI QIDQ848604FDOQ848604
Authors: Dirk Krueger, Hanno Lustig 
Publication date: 4 March 2010
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w12634.pdf
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Cites Work
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- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- The importance of the number of different agents in a heterogeneous asset-pricing model
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- Equilibrium asset prices with undiversifiable labor income risk
- Title not available (Why is that?)
- Does Market Incompleteness Matter?
- RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
- EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
- Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
Cited In (19)
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- Incomplete markets and individual risks
- 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
- When can expected utility handle first-order risk aversion?
- Does Market Incompleteness Matter?
- Returns-to-scale and the equity premium puzzle
- Endogenous market incompleteness with investment risks
- Idiosyncratic risk and the equity premium
- Belief aggregation for representative agent models
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- Self-insurance vs. self-financing: a welfare analysis of the persistence of shocks
- Incomplete markets and derivative assets
- Money, financial stability and efficiency
- Asset prices in a Huggett economy
- Incomplete market dynamics and cross-sectional distributions
- Idiosyncratic risk and financial policy
- Price impact in Nash equilibria
- Incomplete markets, liquidation risk, and the term structure of interest rates
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