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dc.contributor.authorBranger, Nicole
dc.contributor.authorKonermann, Patrick
dc.contributor.authorSchlag, Christian
dc.date.accessioned2020-01-21T15:23:39Z
dc.date.available2020-01-21T15:23:39Z
dc.date.created2019-06-06T23:52:29Z
dc.date.issued2019
dc.identifier.citationJournal of Financial and Quantitative Analysisnb_NO
dc.identifier.issn0022-1090
dc.identifier.urihttp://hdl.handle.net/11250/2637322
dc.description.abstractWe 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 a model with jumps in aggregate consumption, incompleteness barely matters, since the consumption claim resembles an insurance product against jump risk and effectively reproduces approximate spanning. In a long-run risk model with jumps in the long-run growth rate, market incompleteness affects speculation, and investor survival. Jump and diffusive risks are more balanced regarding their importance and, therefore, the consumption claim cannot reproduce approximate spanning.nb_NO
dc.language.isoengnb_NO
dc.publisherCambridge University Pressnb_NO
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.titleOptimists and Pessimists in (In)Complete Marketsnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.journalJournal of Financial and Quantitative Analysisnb_NO
dc.identifier.doi10.1017/S002210901900070X
dc.identifier.cristin1703290
cristin.unitcode158,1,0,0
cristin.unitnameInstitutt for finans
cristin.ispublishedfalse
cristin.fulltextpostprint
cristin.qualitycode2


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal