This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) Author info | Abstract | Publisher info | Download info | Related research | Statistics Hanno Lustig
Additional information is available for the following
registered author(s):
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by UCLA Department of Economics in its series UCLA Economics Online Papers with number
380.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Date of revision:
Handle: RePEc:cla:uclaol:380Contact details of provider: Web page: http://www.econ.ucla.edu/
For technical questions regarding this item, or to correct its listing, contact: (Tim Kwok).
Keywords: This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Miao, Jianjun, 2006.
"Competitive equilibria of economies with a continuum of consumers and aggregate shocks ,"
Journal of Economic Theory ,
Elsevier, vol. 128(1), pages 274-298, May.
[Downloadable!] (restricted)
Other versions: Marcet, Albert & Singleton, Kenneth J., 1999.
"Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints ,"
Macroeconomic Dynamics ,
Cambridge University Press, vol. 3(02), pages 243-277, June.
[Downloadable!]
Other versions: David K. Levine & William Zame, 2001.
"Does Market Incompleteness Matter ,"
Levine's Working Paper Archive
78, David K. Levine.
[Downloadable!]
Other versions: Heaton, John & Lucas, Deborah J, 1996.
"Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing ,"
Journal of Political Economy ,
University of Chicago Press, vol. 104(3), pages 443-87, June.
[Downloadable!] (restricted)
Other versions: Breeden, Douglas T., 1979.
"An intertemporal asset pricing model with stochastic consumption and investment opportunities ,"
Journal of Financial Economics ,
Elsevier, vol. 7(3), pages 265-296, September.
[Downloadable!] (restricted)
repec:cup:macdyn:v:6:y:2002:i:2:p:284-306 is not listed on IDEAS
Kreps, David M & Porteus, Evan L, 1978.
"Temporal Resolution of Uncertainty and Dynamic Choice Theory ,"
Econometrica ,
Econometric Society, vol. 46(1), pages 185-200, January.
[Downloadable!] (restricted)
Lucas, Deborah J., 1994.
"Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle ,"
Journal of Monetary Economics ,
Elsevier, vol. 34(3), pages 325-341, December.
[Downloadable!] (restricted)
Kubler, Felix & Schmedders, Karl, 2002.
"Recursive Equilibria In Economies With Incomplete Markets ,"
Macroeconomic Dynamics ,
Cambridge University Press, vol. 6(02), pages 284-306, April.
[Downloadable!]
Lettau, Martin, 1998.
"Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? ,"
CEPR Discussion Papers
1795, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Constantinides, George M, 1982.
"Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation ,"
Journal of Business ,
University of Chicago Press, vol. 55(2), pages 253-67, April.
[Downloadable!] (restricted)
Fernando Alvarez & Urban J. Jermann, 2000.
"Efficiency, Equilibrium, and Asset Pricing with Risk of Default ,"
Econometrica ,
Econometric Society, vol. 68(4), pages 775-798, July.
Per Krusell & Anthony A. Smith & Jr., 1998.
"Income and Wealth Heterogeneity in the Macroeconomy ,"
Journal of Political Economy ,
University of Chicago Press, vol. 106(5), pages 867-896, October.
[Downloadable!] (restricted)
Other versions:
Per Krusell & Anthony A. Smith, Jr., .
"Income and Wealth Heterogeneity in the Macroeconomy ,"
GSIA Working Papers
1997-37, Carnegie Mellon University, Tepper School of Business.
Krusell, P & Smith Jr, A-A, 1995.
"Income and Wealth Heterogeneity in the Macroeconomic ,"
RCER Working Papers
399, University of Rochester - Center for Economic Research (RCER).
Hansen, Lars Peter & Singleton, Kenneth J, 1983.
"Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns ,"
Journal of Political Economy ,
University of Chicago Press, vol. 91(2), pages 249-65, April.
[Downloadable!] (restricted)
Harrison, J. Michael & Kreps, David M., 1979.
"Martingales and arbitrage in multiperiod securities markets ,"
Journal of Economic Theory ,
Elsevier, vol. 20(3), pages 381-408, June.
[Downloadable!] (restricted)
Weil, Philippe, 1989.
"The equity premium puzzle and the risk-free rate puzzle ,"
Journal of Monetary Economics ,
Elsevier, vol. 24(3), pages 401-421, November.
[Downloadable!] (restricted)
Other versions: Mankiw, N. Gregory, 1986.
"The equity premium and the concentration of aggregate shocks ,"
Journal of Financial Economics ,
Elsevier, vol. 17(1), pages 211-219, September.
[Downloadable!] (restricted)
Other versions: Telmer, Chris I, 1993.
" Asset-Pricing Puzzles and Incomplete Markets ,"
Journal of Finance ,
American Finance Association, vol. 48(5), pages 1803-32, December.
[Downloadable!] (restricted)
John H. Cochrane & Lars Peter Hansen, 1993.
"Asset Pricing Explorations for Macroeconomics ,"
NBER Working Papers
4088, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Lucas, Robert E, Jr, 1978.
"Asset Prices in an Exchange Economy ,"
Econometrica ,
Econometric Society, vol. 46(6), pages 1429-45, November.
[Downloadable!] (restricted)
repec:cup:macdyn:v:3:y:1999:i:2:p:243-77 is not listed on IDEAS
Tom Krebs, 2006.
"Recursive equilibrium in endogenous growth models with incomplete markets ,"
Economic Theory ,
Springer, vol. 29(3), pages 505-523, November.
[Downloadable!] (restricted)
Other versions: Epstein, Larry G & Zin, Stanley E, 1989.
"Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework ,"
Econometrica ,
Econometric Society, vol. 57(4), pages 937-69, July.
[Downloadable!] (restricted)
Dumas, Bernard, 1989.
"Two-Person Dynamic Equilibrium in the Capital Market ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 2(2), pages 157-88.
[Downloadable!] (restricted)
Narayana R. Kocherlakota, 1996.
"The Equity Premium: It's Still a Puzzle ,"
Journal of Economic Literature ,
American Economic Association, vol. 34(1), pages 42-71, March.
[Downloadable!] (restricted)
Other versions: Huggett, Mark, 1993.
"The risk-free rate in heterogeneous-agent incomplete-insurance economies ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 17(5-6), pages 953-969.
[Downloadable!] (restricted)
Aiyagari, S Rao, 1994.
"Uninsured Idiosyncratic Risk and Aggregate Saving ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 109(3), pages 659-84, August.
[Downloadable!] (restricted)
Other versions:
Full
references
Access and
download statistics Did you know? About 1000 journals are listed on RePEc .
This page was last updated on 2009-11-6.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .