Browsing BI Open by Author "Branger, Nicole"

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    • Equilibrium Asset Pricing in Directed Networks 

      Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (Journal article; Peer reviewed, 2021)
      Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these ...

    • Optimists and Pessimists in (In)Complete Markets 

      Branger, Nicole; Konermann, Patrick; Schlag, Christian (Journal article; Peer reviewed, 2019)
      We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...