Asset prices with jump/diffusion permanent income shocks.
Freeman, Mark C.
Freeman, Mark C.
Publication Date
20/07/2009
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Abstract
By assuming that all uninsurable risk is permanent, a closed form multi-period, multiple agent and multiple asset incomplete market asset pricing model is presented that allows for jump as well as diffusion risk to personal income.
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Freeman MC (2002) Asset prices with jump/diffusion permanent income shocks. Economics Letters. 7(1): 1-8.
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