Asset-Pricing Puzzles and Incomplete Markets
Asset-Pricing Puzzles and Incomplete Markets
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资产定价难题和不完整市场
DOI：
10.1111/j.1540-6261.1993.tb05129.x
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发表时间：
1993
影响因子：
8
通讯作者：
Chris I. Telmer
中科院分区：
文献类型：
--
作者：
Chris I. Telmer
对资产定价的代表性代理理论进行了修正，使其包含异质代理和不完全市场。该模型的特点是两种类型的代理人不同的一个不可交易的，特质的组成部分，在他们的捐赠过程。数值解表明，个人能够通过无风险的借贷来分散相当大一部分的特殊收入风险。跨期边际替代率的可变性的限制被用来认为，不完整的市场，在这里建模，不能占资产回报的属性是异常的代表性代理理论的角度来看。版权所有1993年美国金融协会。
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory. Copyright 1993 by American Finance Association.