Equilibrium in securities markets with heterogeneous investors and unspanned income risk
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DOI: 10.1016/j.jet.2012.01.007
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More about this item
Keywords
Unspanned income; Heterogeneous preferences; Continuous-time equilibrium; Risk-free rate puzzle; Equity premium; Incomplete markets; Brownian motion;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
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