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Pricing a Risky, One-Time Contract (B)
Colley, John L. - 2009
Persistent link: https://www.econbiz.de/10013158746
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Pricing of presale contracts with macroeconomic factors and stochastic basis risk
Yang, Chih-Yuan; Chen, Ming-Chi; Chang, Chia-Chien - In: Journal of real estate research : JRER ; a publication … 42 (2020) 4, pp. 531-551
Persistent link: https://www.econbiz.de/10012414464
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Evaluating asset pricing models with limited commitment using household consumption data
Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - In: Journal of the European Economic Association 6 (2008) 2/3, pp. 715-726
Persistent link: https://www.econbiz.de/10003725672
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Evaluation asset pricing models with limited commitment using household consumption data
Krueger, Dirk (contributor); Lustig, Hanno (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003376995
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Evaluating asset pricing models with limited commitment using household consumption data
Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - 2007
"We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited … enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a … pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement …
Persistent link: https://www.econbiz.de/10003653413
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Incentive compatible financial contracts, asset prices, and the value of control
Lacker, Jeffrey Malcolm - In: Journal of financial intermediation 1 (1990) 1, pp. 31-56
Persistent link: https://www.econbiz.de/10001089873
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Asset Pricing under Optimal Contracts
Cvitanic, Jaksa - 2017
Buffa, Vayanos and Woolley (2014) by allowing general contracts, and by allowing the portfolio manager to invest privately …, the optimal contract rewards Agent for taking specific risk of individual assets in excess of the systematic risk of the …
Persistent link: https://www.econbiz.de/10012963460
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Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
Krueger, Dirk - 2007
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited … enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a … pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement …
Persistent link: https://www.econbiz.de/10012775482
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Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
Krueger, Dirk - 2007
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited … enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a … pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement …
Persistent link: https://www.econbiz.de/10012464989
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Asset pricing under optimal contracts
Cvitanić, Jakša; Xing, Hao - In: Journal of economic theory 173 (2018), pp. 142-180
Persistent link: https://www.econbiz.de/10011941619