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On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis

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  • Süleyman Basak

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  • Süleyman Basak, "undated". "On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis," Rodney L. White Center for Financial Research Working Papers 10-98, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:10-98
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    5. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    6. Danthine, Jean-Pierre & Donaldson, John B. & Mehra, Rajnish, 1992. "The equity premium and the allocation of income risk," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 509-532.
    7. Svensson, Lars E. O. & Werner, Ingrid M., 1993. "Nontraded assets in incomplete markets : Pricing and portfolio choice," European Economic Review, Elsevier, vol. 37(5), pages 1149-1168, June.
    8. William A. Brock, 1982. "Asset Prices in a Production Economy," NBER Chapters, in: The Economics of Information and Uncertainty, pages 1-46, National Bureau of Economic Research, Inc.
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    15. Martin S. Eichenbaum & Lars Peter Hansen & Kenneth J. Singleton, 1988. "A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 103(1), pages 51-78.
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    20. 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.
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    22. Jean-Pierre DANTHINE & John B. DONALDSON, 1994. "Asset Pricing Implications of Real Market Frictions," Cahiers de Recherches Economiques du Département d'économie 9504, Université de Lausanne, Faculté des HEC, Département d’économie.
    23. N. Gregory Mankiw & Julio J. Rotemberg & Lawrence H. Summers, 1985. "Intertemporal Substitution in Macroeconomics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 100(1), pages 225-251.
    24. 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.
    25. John B. Donaldson & Rajnish Mehra, 1984. "Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 51(3), pages 491-508.
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    27. Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve, 1990. "Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 80-128, February.
    28. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990. "Mean Reversion in Equilibrium Asset Prices," American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
    29. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    30. Black, Fischer, 1990. "Mean Reversion and Consumption Smoothing," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 107-114.
    31. Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
    32. Cuoco, Domenico, 1997. "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income," Journal of Economic Theory, Elsevier, vol. 72(1), pages 33-73, January.
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    Cited by:

    1. Lioui, Abraham & Poncet, Patrice, 2003. "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1163-1180, May.
    2. Turnovsky, Stephen J. & Bianconi, Marcelo, 2005. "Welfare Gains From Stabilization In A Stochastically Growing Economy With Idiosyncratic Shocks And Flexible Labor Supply," Macroeconomic Dynamics, Cambridge University Press, vol. 9(3), pages 321-357, June.
    3. Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011. "Retirement Flexibility and Portfolio Choice," Discussion Paper 2011-077, Tilburg University, Center for Economic Research.
    4. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
    5. Turnovsky, Stephen J. & Smith, William T., 2006. "Equilibrium consumption and precautionary savings in a stochastically growing economy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 243-278, February.
    6. Christiane Clemens, 2009. "Stochastic Growth and Factor Income Risk," German Economic Review, Verein für Socialpolitik, vol. 10(4), pages 422-447, November.
    7. repec:bla:germec:v:10:y:2009:i::p:422-447 is not listed on IDEAS
    8. Kyoung Jin Choi & Gyoocheol Shim & Yong Hyun Shin, 2008. "Optimal Portfolio, Consumption‐Leisure And Retirement Choice Problem With Ces Utility," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 445-472, July.
    9. Jakša Cvitani'{c} & Levon Goukasian & Fernando Zapatero, 2007. "Optimal Risk Taking with Flexible Income," Management Science, INFORMS, vol. 53(10), pages 1594-1603, October.
    10. Dybvig, Philip H. & Liu, Hong, 2010. "Lifetime consumption and investment: Retirement and constrained borrowing," Journal of Economic Theory, Elsevier, vol. 145(3), pages 885-907, May.
    11. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    12. Farhi, Emmanuel & Panageas, Stavros, 2007. "Saving and investing for early retirement: A theoretical analysis," Journal of Financial Economics, Elsevier, vol. 83(1), pages 87-121, January.
    13. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
    14. Kubota, Keiichi & Tokunaga, Toshifumi & Wada, Kenji, 2008. "Consumption behavior, asset returns, and risk aversion: Evidence from the Japanese household survey," Japan and the World Economy, Elsevier, vol. 20(1), pages 1-18, January.
    15. Clemens, Christiane, 2004. "Growth and Labor Income Risk with Inelastic and Elastic Labor Supply," Hannover Economic Papers (HEP) dp-305, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    16. Kenc, Turalay, 2004. "Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1511-1539, June.

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