Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing PDF Download
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Author: Martín Gonzalez-Eiras
Publisher:
ISBN:
Category :
Languages : en
Pages : 240
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Author: Dirk Krueger
Publisher:
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Category :
Languages : en
Pages : 150
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Author: John Heaton
Publisher: Forgotten Books
ISBN: 9780666077134
Category : Business & Economics
Languages : en
Pages : 66
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Excerpt from Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing Incomplete markets in the form of an inability to borrow against risky future income has been proposed as an explanation for the poor predictive power of the standard consumption-based asset pricing model.1 With complete markets, individuals fully insure against idiosyncratic income shocks, and individual consumption is proportional to aggregate consumption.2 With limited insurance markets, however, individual consumption variability may exceed that of the aggregate, and the implied asset prices may differ significantly from those predicted by a representative consumer model. In this paper we study an economy in which agents cannot write contracts contingent on future labor income realizations. They face aggregate uncertainty in the form of dividend and systematic labor income risk, and also idiosyncratic labor income risk. Idiosyncratic income shocks can be buffered by trading in financial securities, but the extent of trade is limited by borrowing constraints, short sales constraints and transactions costs. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: John Heaton
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: John Heaton
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Author: Heaton John 1959-
Publisher: Palala Press
ISBN: 9781355582649
Category :
Languages : en
Pages : 70
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Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work.This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Jochen Mankart
Publisher:
ISBN:
Category : Academic theses
Languages : en
Pages : 0
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Author: Arnaud Goussebaïle
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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This paper analyzes how insurance companies allow the issue of market incompleteness to be overcome. A general equilibrium economy is considered in which heterogeneous agents face endowment risks. Markets are incomplete: there are only markets for trading commodities ex-post and hedging price risks ex-ante. I introduce insurance companies supplying individual insurance contracts against endowment risks and sharing their uncertain profit through stock markets. I show that this restores Pareto optimality and generates the allocation obtained in the complete Arrow-Debreu setting despite drastically fewer markets. Substituting a tremendous amount of illiquid financial markets by insurance companies seems to be an effective way to implement risk management in the real world.
Author: Franklin Allen
Publisher: MIT Press
ISBN: 9780262011419
Category : Business & Economics
Languages : en
Pages : 398
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Book Description
Franklin Allen and Douglas Gale assemble some of their key papers along with a five-chapter overview that not only synthesizes their work but provides a historical and institutional review and a discussion of alternative approaches as well.
