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

10.3386/w4249 ◽  
1993 ◽  
Author(s):  
John Heaton ◽  
Deborah Lucas
Keyword(s):  
Asset Pricing ◽  
Incomplete Markets ◽  
Risk Sharing

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

Risk Sharing in Voluntarily Incomplete Markets

2021 ◽  
Author(s):  
Daniel Neuhann ◽  
Mahyar Sefidgaran ◽  
Michael Sockin
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing

RISK SHOCKS, RISK MANAGEMENT, AND INVESTMENT

2019 ◽  
pp. 1-31
Author(s):  
Jonathan Goldberg
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing ◽  
Idiosyncratic Risk ◽  
Limited Commitment ◽  
Business Risk ◽  
Financial Contracts ◽  
Business Outcomes ◽  
Credit Lines ◽  
Aggregate Investment ◽  
State Capital

This paper studies the macroeconomic effects of shocks to idiosyncratic business risk in an economy with endogenously incomplete markets. I develop a model in which firms face idiosyncratic risk and obtain insurance from intermediaries through contracts akin to credit lines. Insurance is imperfect due to limited commitment in financial contracts. Although steady-state capital is higher than if firms were constrained to issue only standard equity, a rise in uncertainty about idiosyncratic business outcomes leads to an endogenous reduction in risk sharing. This deterioration in risk sharing results from a general-equilibrium shortage of pledgeable assets and implies that the economy’s response to an increase in idiosyncratic business risk can be amplified by financial contracting rather than dampened. In a parametrized version of the model, a rise in idiosyncratic business risk generates a large increase in uncertainty about aggregate investment.

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

SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS

2008 ◽  
Vol 11 (05) ◽  
pp. 415-445 ◽  
Author(s):  
S. Z. XANTHOPOULOS ◽  
A. N. YANNACOPOULOS
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing ◽  
Asset Prices ◽  
Incomplete Market ◽  
The Other ◽  
Market Game ◽  
Price Determination ◽  
Trinomial Model ◽  
Utility Pricing

We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios, based on utility pricing. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer and seller prices to a unique price are proposed. The case of exponential utilities is treated in detail, in the simplest possible example of an incomplete market, the trinomial model.

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