CONSUMPTION CORRELATEDNESS AND RISK MEASUREMENT IN ECONOMIES WITH NON-TRADED ASSETS AND HETEROGENEOUS INFORMATION

被引:112
作者
GROSSMAN, SJ [1 ]
SHILLER, RJ [1 ]
机构
[1] YALE UNIV,NEW HAVEN,CT 06520
关键词
D O I
10.1016/0304-405X(82)90013-7
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:195 / 210
页数:16
相关论文
共 9 条
[1]  
Ash R. B., 2014, REAL ANAL PROBABILIT
[2]   INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296
[4]  
COX J, 1983, UNPUB ECONOMETRICA
[5]   MARTINGALES AND ARBITRAGE IN MULTIPERIOD SECURITIES MARKETS [J].
HARRISON, JM ;
KREPS, DM .
JOURNAL OF ECONOMIC THEORY, 1979, 20 (03) :381-408
[6]  
MAYERS D, 1972, STUDIES THEORY CAPIT, P79
[7]   INTERTEMPORAL CAPITAL ASSET PRICING MODEL [J].
MERTON, RC .
ECONOMETRICA, 1973, 41 (05) :867-887
[8]   OPTIMUM CONSUMPTION AND PORTFOLIO RULES IN A CONTINUOUS-TIME MODEL [J].
MERTON, RC .
JOURNAL OF ECONOMIC THEORY, 1971, 3 (04) :373-413
[9]  
MERTON RC, 1978, FINANCIAL EC ESSAYS