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Equilibrium term structure relations of risky assets in incomplete markets

Eckwert, Bernhard - 1993

This paper presents a simple theoretical model of the term structure and analyzes the relations among optimal portfolio decisions, the real term structure of asset returns, and the risks and price volatilities of assets with different terms to maturity when the investor preferences are...

Persistent link: https://www.econbiz.de/10009755239

Displacement risk and asset returns

Garleanu, Nicolae; Kogan, Leonid; Panageas, Stauros - In: Journal of financial economics 105 (2012) 3, pp. 511-522

Persistent link: https://www.econbiz.de/10009666812

Equilibrium in securities markets with heterogeneous investors and unspanned income risk

Christensen, Peter Ove; Munk, Claus - In: Journal of economic theory 147 (2012) 3, pp. 1035-1063

Persistent link: https://www.econbiz.de/10009626734

Market incompleteness and the equity premium puzzle : evidence from state-level data

Jacobs, Kris; Pallage, Stéphane J.; Robe, Michel A. - In: Journal of banking & finance 37 (2013) 2, pp. 378-388

Persistent link: https://www.econbiz.de/10009705649

International risk sharing and incomplete asset market

Kang, Joong Shik - 2007

Persistent link: https://www.econbiz.de/10009707950

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861