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Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm
Dynamic stochastic models Heterogeneous agents Aggregate uncertainty Euler-equation methods Simulations Numerical solutions
2015/7/21
This paper studies the properties of the solution to the heterogeneous agents model in Den Haan et al. [2009. Computational suite of models with heterogeneous agents: incomplete markets and aggregate ...
Asset Allocation with Endogenous Labor Income:The Case of Incomplete Markets
Asset Allocation Endogenous Labor Income Incomplete Markets
2015/5/13
Asset Allocation with Endogenous Labor Income:The Case of Incomplete Markets.
Additive habit formation: Consumption in incomplete markets with random endowments
Optimal Consumption Investment Utility Maximization Habit Formation Random Endowments Incomplete Markets
2011/7/4
We provide a detailed characterization of the optimal consumption
stream for the additive habit-forming utility maximization problem, in
a framework of general discrete-time incomplete markets and r...
Stock loans in incomplete markets
Stock loans indifference pricing illiquid assets incomplete markets
2010/10/22
A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual Americ...
Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Incomplete markets market games risk sharing regret dynamical schemes
2010/10/29
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based ...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...