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Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

https://doi.org/10.1093/rfs/hhm063
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The real interest rate and aggregate supply
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Asset returns with transactions costs and uninsured individual risk
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Asset pricing with undiversifiable income risk and short sales constraints
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The Consumption of Stockholders and Non-Stockholders
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Limited stock market participation and the equity premium
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Asset pricing with idiosyncratic risk and overlapping generations
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International evidence on investment and fundamentals
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Precautionary portfolio behavior from a life-cycle perspective
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Asset pricing in production economies
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Portfolio choice with internal habit formation: a life-cycle model with uninsurable labor income risk
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Chapter 19 Asset prices, consumption, and the business cycle
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Financial Innovation, Market Participation, and Asset Prices
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MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE
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SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS
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INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
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Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate
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Income and Wealth Heterogeneity in the Macroeconomy
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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What Level of Fixed Costs Can Reconcile Consumption and Stock Returns?
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Market Frictions and Consumption-Based Asset Pricing
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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
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Asset Holding and Consumption Volatility
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Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
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Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
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An Equilibrium Model with Restricted Stock Market Participation
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Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk
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Inspecting the Mechanism: closed‐form Solutions for Asset Prices in Real Business Cycle Models
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Portfolio Choice and Liquidity Constraints*
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Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
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Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01271.xopenalex-snapshot
Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
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Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
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Stock Prices and Fundamentals
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Intergenerational Risk-Sharing via Social Security when Financial Markets Are Incomplete
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The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks
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inferredcites →https://doi.org/10.1257/aer.96.3.737openalex-snapshot
Pareto-Improving Social Security Reform when Financial Markets Are Incomplete!?
inferredcites →https://doi.org/10.1920/wp.ifs.2005.0501openalex-snapshot
Entry costs and stock market participation over the life cycle
inferredcites →https://doi.org/10.2139/ssrn.1088816openalex-snapshot
Long-Run Stockholder Consumption Risk and Asset Returns
inferredcites →https://doi.org/10.2139/ssrn.236444openalex-snapshot
Investing Retirement Wealth: A Life-Cycle Model
inferredcites →https://doi.org/10.2139/ssrn.245805openalex-snapshot
Household Portfolios: An International Comparison
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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A Theory of Competitive Equilibrium in Stock Market Economies
inferredcites →https://doi.org/10.2307/2329068openalex-snapshot
Asset-Pricing Puzzles and Incomplete Markets
inferredcites →https://doi.org/10.2307/2329322openalex-snapshot
What Do We Know about Capital Structure? Some Evidence from International Data
inferredcites →https://doi.org/10.2307/2534582openalex-snapshot
The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence
inferredcites →https://doi.org/10.2307/2937817openalex-snapshot
Nonexpected Utility in Macroeconomics
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Stock Prices and Fundamentals
inferredcites →https://doi.org/10.3386/w11247openalex-snapshot
Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
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Saving and Liquidity Constraints
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A Unified Model of Investment Under Uncertainty
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Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice
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Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures
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Household Portfolio Allocation over the Life Cycle
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Household Portfolios

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Agent-based modeling, public choice, and the legacy of Gordon Tullock
inferred← citeshttps://doi.org/10.1007/s11156-018-0766-xopenalex-snapshot
Afraid of the stock market
inferred← citeshttps://doi.org/10.1016/b978-0-444-50899-7.x5001-5openalex-snapshot
Handbook of the Equity Risk Premium
inferred← citeshttps://doi.org/10.1016/b978-044450899-7.50005-1openalex-snapshot
Risk-Based Explanations of the Equity Premium
inferred← citeshttps://doi.org/10.1016/b978-044450899-7.50014-2openalex-snapshot
Financial Markets and the Real Economy
inferred← citeshttps://doi.org/10.1016/bs.hescom.2018.03.002openalex-snapshot
Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”,…
inferred← citeshttps://doi.org/10.1016/bs.hesmac.2016.04.003openalex-snapshot
Macroeconomics and Household Heterogeneity
inferred← citeshttps://doi.org/10.1016/j.euroecorev.2018.01.003openalex-snapshot
A class of tractable incomplete-market models for studying asset returns and risk exposure
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104863openalex-snapshot
Inequality, premium and the timing of resolution of uncertainty
inferred← citeshttps://doi.org/10.1016/j.iref.2023.10.039openalex-snapshot
Risk-free rate puzzle: An explanation of the heterogeneity of consumer risk attitudes under China's income gap
inferred← citeshttps://doi.org/10.1016/j.irfa.2018.04.001openalex-snapshot
Long Memory in Financial Markets: A Heterogeneous Agent Model Perspective
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2012.09.005openalex-snapshot
Market incompleteness and the equity premium puzzle: Evidence from state-level data
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2015.01.019openalex-snapshot
A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2023.106852openalex-snapshot
Population diversity and financial risk-taking
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2026.107695openalex-snapshot
Limits of arbitrage, idiosyncratic risk, and the role of flippers in the housing market
inferred← citeshttps://doi.org/10.1016/j.jeconom.2024.105867openalex-snapshot
Uncovering asset market participation from household consumption and income
inferred← citeshttps://doi.org/10.1016/j.jedc.2008.12.009openalex-snapshot
Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
inferred← citeshttps://doi.org/10.1016/j.jedc.2013.01.008openalex-snapshot
Life cycle asset allocation in the presence of housing and tax-deferred investing
inferred← citeshttps://doi.org/10.1016/j.jedc.2018.01.025openalex-snapshot
Solving an incomplete markets model with a large cross-section of agents
inferred← citeshttps://doi.org/10.1016/j.jedc.2019.01.003openalex-snapshot
The fight-or-flight response to the Joneses and inequality
inferred← citeshttps://doi.org/10.1016/j.jet.2009.10.005openalex-snapshot
When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
inferred← citeshttps://doi.org/10.1016/j.jet.2013.10.003openalex-snapshot
Incomplete markets, liquidation risk, and the term structure of interest rates
inferred← citeshttps://doi.org/10.1016/j.jet.2015.08.013openalex-snapshot
Loss aversion, survival and asset prices
inferred← citeshttps://doi.org/10.1016/j.jfineco.2012.04.002openalex-snapshot
Displacement risk and asset returns
inferred← citeshttps://doi.org/10.1016/j.jfineco.2012.10.008openalex-snapshot
Inequality, stock market participation, and the equity premium
inferred← citeshttps://doi.org/10.1016/j.jfineco.2019.12.002openalex-snapshot
The Redistributive Effects of Bank Capital Regulation
inferred← citeshttps://doi.org/10.1016/j.jfineco.2020.06.023openalex-snapshot
Asset pricing with index investing
inferred← citeshttps://doi.org/10.1016/j.jfineco.2023.04.002openalex-snapshot
Asset holders’ consumption risk and tests of conditional CCAPM
inferred← citeshttps://doi.org/10.1016/j.jfineco.2023.103774openalex-snapshot
Disagreement, Information Quality and Asset Prices
inferred← citeshttps://doi.org/10.1016/j.jfineco.2024.103898openalex-snapshot
Borrow now, pay even later: A quantitative analysis of student debt payment plans
inferred← citeshttps://doi.org/10.1016/j.jfineco.2025.104191openalex-snapshot
Demand disagreement
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2012.03.006openalex-snapshot
Aggregate implications of micro asset market segmentation
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2012.06.008openalex-snapshot
Inequality Risk Premia
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2013.09.005openalex-snapshot
The Case for a Financial Approach to Money Demand
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2023.01.009openalex-snapshot
Government Debt and Risk Premia
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2025.103846openalex-snapshot
Stock market participation and macro-financial trends
inferred← citeshttps://doi.org/10.1016/j.red.2015.12.001openalex-snapshot
Household finance over the life-cycle: What does education contribute?
inferred← citeshttps://doi.org/10.1016/j.red.2016.06.003openalex-snapshot
Generational Asset Pricing, Equity Puzzles, and Cyclicality
inferred← citeshttps://doi.org/10.1016/j.red.2021.12.002openalex-snapshot
Stock market participation: The role of human capital
inferred← citeshttps://doi.org/10.1016/j.rie.2017.01.002openalex-snapshot
Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets
inferred← citeshttps://doi.org/10.1017/s0022109011000196openalex-snapshot
Endogenous Labor/Leisure/Investment Choice under Time Constraints
inferred← citeshttps://doi.org/10.1080/13504851.2013.879274openalex-snapshot
Time preference assumptions in normative analyses of household financial decisions
inferred← citeshttps://doi.org/10.1080/14697688.2026.2646274openalex-snapshot
Revisiting the bond premium puzzle: a robustness approach
inferred← citeshttps://doi.org/10.1086/666526openalex-snapshot
The Aggregate Demand for Treasury Debt
inferred← citeshttps://doi.org/10.1086/680996openalex-snapshot
Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing
inferred← citeshttps://doi.org/10.1086/689606openalex-snapshot
The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium
inferred← citeshttps://doi.org/10.1093/oxrep/grn012openalex-snapshot
The behavioural economics of climate change
inferred← citeshttps://doi.org/10.1093/restud/rdac024openalex-snapshot
Affordable Housing and City Welfare
inferred← citeshttps://doi.org/10.1093/restud/rdaf008openalex-snapshot
Wealth Inequality and Asset Prices
inferred← citeshttps://doi.org/10.1093/restud/rdq008openalex-snapshot
A Multiplier Approach to Understanding the Macro Implications of Household Finance
inferred← citeshttps://doi.org/10.1093/rfs/hhab036openalex-snapshot
A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “COVID-19” Shock
inferred← citeshttps://doi.org/10.1093/rfs/hhad063openalex-snapshot
Seller Debt in Acquisitions of Private Firms: A Security Design Approach
inferred← citeshttps://doi.org/10.1093/rfs/hhae061openalex-snapshot
Designing Pension Plans According to Consumption-Savings Theory
inferred← citeshttps://doi.org/10.1093/rfs/hhaf064openalex-snapshot
Fragility of Safe Asset Markets
inferred← citeshttps://doi.org/10.1093/rfs/hhn074openalex-snapshot
Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns
inferred← citeshttps://doi.org/10.1093/rfs/hhs110openalex-snapshot
Fiscal Policy and Asset Prices with Incomplete Markets
inferred← citeshttps://doi.org/10.1093/rfs/hht030openalex-snapshot
Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints
inferred← citeshttps://doi.org/10.1093/rfs/hht051openalex-snapshot
Asset Prices with Heterogeneity in Preferences and Beliefs
inferred← citeshttps://doi.org/10.1093/rfs/hhy089openalex-snapshot
Limited Stock Market Participation Among Renters and Homeowners
inferred← citeshttps://doi.org/10.1093/rof/rfu008openalex-snapshot
Taxation, Transfer Income and Stock Market Participation
inferred← citeshttps://doi.org/10.1108/rbf-12-2019-0177openalex-snapshot
Is household registration system responsible for the limited participation of stock market in China?
inferred← citeshttps://doi.org/10.1111/acfi.12516openalex-snapshot
Asset pricing and energy consumption risk
inferred← citeshttps://doi.org/10.1111/eufm.12133openalex-snapshot
Asset pricing puzzles in an OLG economy with generalized preference
inferred← citeshttps://doi.org/10.1111/fire.12191openalex-snapshot
Age‐Dependent Increasing Risk Aversion and the Equity Premium Puzzle
inferred← citeshttps://doi.org/10.1111/iere.12285openalex-snapshot
PORTFOLIO REBALANCING AND ASSET PRICING WITH HETEROGENEOUS INATTENTION
inferred← citeshttps://doi.org/10.1111/iere.12365openalex-snapshot
IDIOSYNCRATIC RISK, AGGREGATE RISK, AND THE WELFARE EFFECTS OF SOCIAL SECURITY
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2009.01507.xopenalex-snapshot
Long‐Run Stockholder Consumption Risk and Asset Returns
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2009.01515.xopenalex-snapshot
Implications of Keeping‐Up‐with‐the‐Joneses Behavior for the Equilibrium Cross Section of Stock Returns: International Evidence
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2012.01775.xopenalex-snapshot
Incomplete‐Market Equilibria Solved Recursively on an Event Tree
inferred← citeshttps://doi.org/10.1111/jfir.12243openalex-snapshot
Which economic uncertainty measure matters for households' portfolio decision?
inferred← citeshttps://doi.org/10.1111/jmcb.12521openalex-snapshot
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation
inferred← citeshttps://doi.org/10.1111/jofi.12697openalex-snapshot
On the Asset Allocation of a Default Pension Fund
inferred← citeshttps://doi.org/10.1111/jofi.12994openalex-snapshot
Limited Risk Sharing and International Equity Returns
inferred← citeshttps://doi.org/10.1111/jofi.13057openalex-snapshot
Out‐of‐Town Home Buyers and City Welfare
inferred← citeshttps://doi.org/10.1111/jofi.13081openalex-snapshot
Inequality Aversion, Populism, and the Backlash against Globalization
inferred← citeshttps://doi.org/10.1111/jofi.13507openalex-snapshot
Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
inferred← citeshttps://doi.org/10.1111/jori.12230openalex-snapshot
Consumption‐Based Asset Pricing in Insurance Markets: Yet Another Puzzle?
inferred← citeshttps://doi.org/10.1111/jori.12370openalex-snapshot
Value of Life and Annuity Demand
inferred← citeshttps://doi.org/10.1111/jori.70022openalex-snapshot
Extreme‐weather risk and the cross‐section of stock returns
inferred← citeshttps://doi.org/10.1146/annurev-economics-080218-025711openalex-snapshot
Computing Economic Equilibria Using Projection Methods
inferred← citeshttps://doi.org/10.1146/annurev.economics.050708.142922openalex-snapshot
Quantitative Macroeconomics with Heterogeneous Households
inferred← citeshttps://doi.org/10.1155/2010/791025openalex-snapshot
Instability of Financial Markets and Preference Heterogeneity
inferred← citeshttps://doi.org/10.1162/rest.88.2.348openalex-snapshot
Borrowing Costs and the Demand for Equity over the Life Cycle
inferred← citeshttps://doi.org/10.1184/r1/6723554openalex-snapshot
The Effects of Contracting and Labor Search on Risks in Financial Markets
inferred← citeshttps://doi.org/10.1257/aer.102.6.2859openalex-snapshot
Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?
inferred← citeshttps://doi.org/10.1257/aer.96.3.737openalex-snapshot
Pareto-Improving Social Security Reform when Financial Markets Are Incomplete!?
inferred← citeshttps://doi.org/10.1257/mac.20180429openalex-snapshot
The Choice Channel of Financial Innovation
inferred← citeshttps://doi.org/10.12660/bre.v36n12016.51595openalex-snapshot
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters
inferred← citeshttps://doi.org/10.1287/mnsc.2015.2317openalex-snapshot
Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios
inferred← citeshttps://doi.org/10.1287/mnsc.2022.01663openalex-snapshot
A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models
inferred← citeshttps://doi.org/10.1287/mnsc.2023.00290openalex-snapshot
Stock Market Ownership Transitions
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