Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
نویسندگان
چکیده
منابع مشابه
Asset and Derivative Pricing with Incomplete Markets
This paper presents a model where uninsurable income shocks and credit constraints generate a demand for liquidity. Infinitely lived agents purchase a risky asset to self insure themselves against their individual risk. They also trade call options to diversify the aggregate risk they face. In this economy, options are not redundant but complete the market for aggregate risk. We are able to cha...
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Investors in equilibrium are modeled as facing investor speci ̄c risks across the space of assets. Personalized asset pricing models re°ect these risks. Averaging across the pool of investors we obtain a market asset pricing model that re°ects market risk exposures. It is observed on invoking a law of large numbers applied to an in ̄nite population of investors that many personally relevant risk ...
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ژورنال
عنوان ژورنال: Review of Finance
سال: 2003
ISSN: 1572-3097,1573-692X
DOI: 10.1023/a:1024568429527