When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

DOI10.1016/J.JET.2009.10.005MaRDI QIDQ848604zbMATHOpenAlexFDO

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

zbMATH Keywords

asset pricingrisk sharing

Mathematics Subject Classification ID

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

Recommendations

• Does Market Incompleteness Matter?
• scientific article; zbMATH DE number 1552543
• Incomplete markets and individual risks
• When Borch's theorem does not apply: some key implications of market incompleteness, with policy relevance today
• A simple model of incomplete insurance The case of permanent shocks

Cites work

• scientific article; zbMATH DE number 4051296 (Why is no real title available?)
• 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
• Does Market Incompleteness Matter?
• 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
• 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

(20)

• Incomplete market dynamics and cross-sectional distributions
• scientific article; zbMATH DE number 1552543 (Why is no real title available?)
• The role of household debt and delinquency decisions in consumption-based asset pricing
• Endogenous market incompleteness with investment risks
• Business cycle fluctuations in Mirrlees economies: the case of i.i.d. shocks
• On increasing risk in incomplete markets
• Self-insurance vs. self-financing: a welfare analysis of the persistence of shocks
• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
• Asset prices in a Huggett economy
• Belief aggregation for representative agent models
• When can expected utility handle first-order risk aversion?
• Idiosyncratic risk and the equity premium
• Money, financial stability and efficiency
• Incomplete markets and derivative assets
• Price impact in Nash equilibria
• Does Market Incompleteness Matter?
• Incomplete markets, liquidation risk, and the term structure of interest rates
• Returns-to-scale and the equity premium puzzle
• Idiosyncratic risk and financial policy
• Incomplete markets and individual risks

This page was built for publication: When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q848604)