scholarly journals Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

2005 ◽  
Author(s):  
Francisco Gomes ◽  
Alexander Michaelides
Keyword(s):  
Asset Pricing ◽  
Risk Sharing ◽  
Heterogeneous Agents

scholarly journals Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

2007 ◽  
Vol 21 (1) ◽  
pp. 415-448 ◽  
Author(s):  
Francisco Gomes ◽  
Alexander Michaelides
Keyword(s):  
Asset Pricing ◽  
Risk Sharing ◽  
Heterogeneous Agents

scholarly journals Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

1996 ◽  
Vol 104 (3) ◽  
pp. 443-487 ◽  
Author(s):  
John Heaton ◽  
Deborah J. Lucas
Keyword(s):  
Asset Pricing ◽  
Incomplete Markets ◽  
Risk Sharing

scholarly journals Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets

2009 ◽  
Vol 99 (4) ◽  
pp. 1119-1144 ◽  
Author(s):  
Francis A Longstaff
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Agents ◽  
Exchange Economy ◽  
Equilibrium Price ◽  
The Other ◽  
Dramatic Effect ◽  
Blackout Period ◽  
Illiquid Assets

Many classes of assets are illiquid or nonmarketable in that they cannot always be traded immediately. Thus, a portfolio position in these becomes at least temporarily irreversible. We study the asset-pricing implications of this type of illiquidity in an exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a “blackout” period. Illiquidity has a dramatic effect. Agents abandon diversification and choose polarized portfolios instead. The value of liquidity can represent a large portion of the equilibrium price of an asset. (JEL G11, G12)

scholarly journals Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

2021 ◽  
Vol 111 (11) ◽  
pp. 3575-3610
Author(s):  
Bruno Biais ◽  
Johan Hombert ◽  
Pierre-Olivier Weill
Keyword(s):  
Asset Pricing ◽  
Risk Sharing ◽  
Optimal Transport ◽  
Exchange Economy ◽  
Expected Returns ◽  
Factor Loadings ◽  
Incentive Problems ◽  
Marginal Rates Of Substitution ◽  
Dynamic Exchange

Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with optimal transport methods. Moreover, there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally, equilibrium expected returns are concave in factor loadings. (JEL D51, D52, G11, G12)

Asset Pricing Model with Heterogeneous Agents: Wealth Dynamics

2010 ◽  
Author(s):  
Serena Brianzoni ◽  
Cristiana Mammana ◽  
Elisabetta Michetti
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Agents ◽  
Pricing Model ◽  
Asset Pricing Model
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